EN
COMPARISON OF PERFORMANCE AMONG INFORMATION CRITERIA IN VAR AND SEASONAL VAR MODELS
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
References
- . .
Details
Primary Language
English
Subjects
Statistics
Journal Section
Research Article
Publication Date
December 1, 2001
Submission Date
August 14, 2002
Acceptance Date
-
Published in Issue
Year 2002 Volume: 31
APA
Kadılar, C., & Erdemir, C. (2001). COMPARISON OF PERFORMANCE AMONG INFORMATION CRITERIA IN VAR AND SEASONAL VAR MODELS. Hacettepe Journal of Mathematics and Statistics, 31, 127-137. https://izlik.org/JA69EL23WY
AMA
1.Kadılar C, Erdemir C. COMPARISON OF PERFORMANCE AMONG INFORMATION CRITERIA IN VAR AND SEASONAL VAR MODELS. Hacettepe Journal of Mathematics and Statistics. 2001;31:127-137. https://izlik.org/JA69EL23WY
Chicago
Kadılar, Cem, and Cenap Erdemir. 2001. “COMPARISON OF PERFORMANCE AMONG INFORMATION CRITERIA IN VAR AND SEASONAL VAR MODELS”. Hacettepe Journal of Mathematics and Statistics 31 (December): 127-37. https://izlik.org/JA69EL23WY.
EndNote
Kadılar C, Erdemir C (December 1, 2001) COMPARISON OF PERFORMANCE AMONG INFORMATION CRITERIA IN VAR AND SEASONAL VAR MODELS. Hacettepe Journal of Mathematics and Statistics 31 127–137.
IEEE
[1]C. Kadılar and C. Erdemir, “COMPARISON OF PERFORMANCE AMONG INFORMATION CRITERIA IN VAR AND SEASONAL VAR MODELS”, Hacettepe Journal of Mathematics and Statistics, vol. 31, pp. 127–137, Dec. 2001, [Online]. Available: https://izlik.org/JA69EL23WY
ISNAD
Kadılar, Cem - Erdemir, Cenap. “COMPARISON OF PERFORMANCE AMONG INFORMATION CRITERIA IN VAR AND SEASONAL VAR MODELS”. Hacettepe Journal of Mathematics and Statistics 31 (December 1, 2001): 127-137. https://izlik.org/JA69EL23WY.
JAMA
1.Kadılar C, Erdemir C. COMPARISON OF PERFORMANCE AMONG INFORMATION CRITERIA IN VAR AND SEASONAL VAR MODELS. Hacettepe Journal of Mathematics and Statistics. 2001;31:127–137.
MLA
Kadılar, Cem, and Cenap Erdemir. “COMPARISON OF PERFORMANCE AMONG INFORMATION CRITERIA IN VAR AND SEASONAL VAR MODELS”. Hacettepe Journal of Mathematics and Statistics, vol. 31, Dec. 2001, pp. 127-3, https://izlik.org/JA69EL23WY.
Vancouver
1.Cem Kadılar, Cenap Erdemir. COMPARISON OF PERFORMANCE AMONG INFORMATION CRITERIA IN VAR AND SEASONAL VAR MODELS. Hacettepe Journal of Mathematics and Statistics [Internet]. 2001 Dec. 1;31:127-3. Available from: https://izlik.org/JA69EL23WY