COMPARISON OF PERFORMANCE AMONG INFORMATION CRITERIA IN VAR AND SEASONAL VAR MODELS

Cem Kadılar; Cenap Erdemir

Research Article

COMPARISON OF PERFORMANCE AMONG INFORMATION CRITERIA IN VAR AND SEASONAL VAR MODELS

Year 2002, Volume: 31, 127 - 137, 01.12.2001

Cem Kadılar Cenap Erdemir

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

References

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Year 2002, Volume: 31, 127 - 137, 01.12.2001

Cem Kadılar Cenap Erdemir

Abstract

References

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There are 1 citations in total.

Details

Primary Language	English
Subjects	Statistics
Journal Section	Statistics
Authors	Cem Kadılar This is me Cenap Erdemir This is me
Publication Date	December 1, 2001
Published in Issue	Year 2002 Volume: 31

Cite

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.
AMA	Kadılar C, Erdemir C. COMPARISON OF PERFORMANCE AMONG INFORMATION CRITERIA IN VAR AND SEASONAL VAR MODELS. Hacettepe Journal of Mathematics and Statistics. December 2001;31:127-137.
Chicago	Kadılar, Cem, and Cenap Erdemir. “COMPARISON OF PERFORMANCE AMONG INFORMATION CRITERIA IN VAR AND SEASONAL VAR MODELS”. Hacettepe Journal of Mathematics and Statistics 31, December (December 2001): 127-37.
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	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, 2001.
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 2001), 127-137.
JAMA	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, 2001, pp. 127-3.
Vancouver	Kadılar C, Erdemir C. COMPARISON OF PERFORMANCE AMONG INFORMATION CRITERIA IN VAR AND SEASONAL VAR MODELS. Hacettepe Journal of Mathematics and Statistics. 2001;31:127-3.