- Hacettepe Journal of Mathematics and Statistics
- Vol: 31
- COMPARISON OF PERFORMANCE AMONG INFORMATION CRITERIA IN VAR AND SEASONAL VAR MODELS
COMPARISON OF PERFORMANCE AMONG INFORMATION CRITERIA IN VAR AND SEASONAL VAR MODELS
Authors : Cem Kadilar, Cenap Erdemir
Pages : 127-137
View : 10 | Download : 3
Publication Date : 2001-12-01
Article Type : Research
Abstract :The aim of this paper is to show the effect of seasonality on the perfor- mance of traditional information criteria (such as Akaike, Schwarz, Shibata, and Quinn), used for determining the order of vector autoregressive (VAR) models. Using a simulation study, we find that the performances of these criteria decrease in seasonal VAR (SVAR) models.Keywords : VAR models, Information criteria, Seasonality