TY  - JOUR
T1  - COMPARISON OF PERFORMANCE AMONG INFORMATION CRITERIA IN VAR AND SEASONAL VAR MODELS
AU  - Kadılar, Cem
AU  - Erdemir, Cenap
PY  - 2001
DA  - December
JF  - Hacettepe Journal of Mathematics and Statistics
PB  - Hacettepe University
WT  - DergiPark
SN  - 2651-477X
SP  - 127
EP  - 137
VL  - 31
LA  - en
AB  - 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 thesecriteria decrease in seasonal VAR (SVAR) models.
KW  - VAR models
KW  - Information criteria
KW  - Seasonality
CR  - .
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UR  - https://dergipark.org.tr/en/pub/hujms/issue//530874
L1  - https://dergipark.org.tr/en/download/article-file/655410
ER  -