@article{article_530874, title={COMPARISON OF PERFORMANCE AMONG INFORMATION CRITERIA IN VAR AND SEASONAL VAR MODELS}, journal={Hacettepe Journal of Mathematics and Statistics}, volume={31}, pages={127–137}, year={2001}, author={Kadılar, Cem and Erdemir, Cenap}, keywords={VAR models,Information criteria,Seasonality}, abstract={<div>The aim of this paper is to show the effect of seasonality on the perfor- </div> <div>mance of traditional information criteria (such as Akaike, Schwarz, Shibata, </div> <div>and Quinn), used for determining the order of vector autoregressive (VAR) </div> <div>models. Using a simulation study, we find that the performances of these </div> <div>criteria decrease in seasonal VAR (SVAR) models. </div>}, publisher={Hacettepe University}