COMPARISON OF PERFORMANCE AMONG INFORMATION CRITERIA IN VAR AND SEASONAL VAR MODELS

Authors : Cem KADILAR, Cenap ERDEMİR

Pages : 127-137

View : 22 | Download : 8

Publication Date : 2001-12-01

Article Type : Research Paper

Abstract :The aim of this paper is to show the effect of seasonality on the perfor- mance of traditional information criteria insert ignore into journalissuearticles values(such as Akaike, Schwarz, Shibata, and Quinn);, used for determining the order of vector autoregressive insert ignore into journalissuearticles values(VAR); models. Using a simulation study, we find that the performances of these criteria decrease in seasonal VAR insert ignore into journalissuearticles values(SVAR); models.
Keywords : VAR models, Information criteria, Seasonality