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COMPARISON OF CRITERIA FOR ESTIMATING THE ORDER OF A VECTOR AUTOREGRESSIVE PROCESS
Author(s) -
Lütkepohl Helmut
Publication year - 1985
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1985.tb00396.x
Subject(s) - autoregressive model , mathematics , star model , setar , statistics , econometrics , process (computing) , order (exchange) , mean squared error , autoregressive integrated moving average , time series , computer science , finance , economics , operating system
. Various criteria for estimating the order of a vector autoregressive process are compared in a simulation study. For the considered processes Schwarz's BIC criterion chooses the correct autoregressive order most often and leads to the smallest mean squared forecasting error in samples of the size usually available in practice.