The Performance of AlCC as an Order Selection Criterion in ARMA Time Series Models

Sen, Liew Khim and Shitana, Mahendran (2002) The Performance of AlCC as an Order Selection Criterion in ARMA Time Series Models. Pertanika Journal of Science & Technology, 10 (1). pp. 25-33. ISSN 0128-7680

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Abstract

This study is undertaken with the objective of investigating the performance of Akaike's Information Corrected Criterion (AlCC) as an order determination criterion for the selection of Autoregressive Moving-Average or ARMA (P,q) time series model. A simulation investigation was carried to determine the probability of the AlCC statistics picking up the correct model. Result obtained showed that the probability of the AlCC criterion picking up the correct model was moderately good. The problem of over parameterization existed but under parameterization was found to be minimal. Hence, for any two comparable models, it is always safe to choose the one with lower order of p and q.

Item Type:Article
Keyword:AlCC, ARMA, under/over parameterization
Publisher:Universiti Putra Malaysia Press
ID Code:3803
Deposited By: Nur Izzati Mohd Zaki
Deposited On:02 Dec 2009 00:25
Last Modified:27 May 2013 07:11

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