Comparison study of Information Criteria to determine the order of Autoregressive models | ||
| journal of Economics And Administrative Sciences/ University of baghdad | ||
| Article 1, Volume 18, Issue 65, February 2012, Pages 323-348 | ||
| Abstract | ||
| In this study, we compare between the traditional Information Criteria (AIC, SIC, HQ, FPE) with The Modified Divergence Information Criterion (MDIC) which used to determine the order of Autoregressive model (AR) for the data generating process, by using the simulation by generating data from several of Autoregressive models, when the error term is normally distributed with different values for its parameters (the mean and the variance),and for different sample sizes. | ||
| Keywords | ||
| Comparison study of Information Criteria to determine the order of Autoregressive models | ||
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