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COMPARISON OF CRITERIA FOR ESTIMATING THE ORDER OF A VECTOR AUTOREGRESSIVE PROCESS

 

作者: Helmut Lütkepohl,  

 

期刊: Journal of Time Series Analysis  （WILEY Available online 1985）
卷期: Volume 6, issue 1  

页码: 35-52

 

ISSN:0143-9782

 

年代: 1985

 

DOI:10.1111/j.1467-9892.1985.tb00396.x

 

出版商: Blackwell Publishing Ltd

 

关键词: Autoregressive process;Model selection criteria;AR order determination;Sequential testing

 

数据来源: WILEY

 

摘要:

Abstract.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.

 

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