Comparison of Model Selection Criteria for Models Including Trend and Seasonal Components in Econometric Time Series

Öz

The paper aims to compare commonly used model selection criteria in time series modeling, such as Adjusted R2, log-likelihood, Akaike Information Criterion (AIC), Schwarz Information Criterion (SIC), Hannan-Quinn (HQ) Information Criterion, and Mean Squared Error (MSE). In this context, for an additive time series, data was produced in different sample sizes from n=60 to n=500 from (17) different stationary stochastic processes, including constant, trend, seasonal and irregular components. Each production was repeated 10000 times and the criteria were calculated. For very large sample sizes, the HQ information criterion provides the best results for all types of time series models. It was observed that log-likelihood performed poorly in almost all models. It has been found that "Adjusted R2" is the best option for models with sample sizes less than 120, and "AIC" criterion is the best option for choosing the right model as the sample size increased.

Anahtar Kelimeler

• Stationary Stochastic Process
• Model Selection Criteria
• Data Generating Process
• Monte Carlo Simulation

Ekonometrik Zaman Serilerinde Trend ve Mevsimsel Bileşenleri İçeren Modeller İçin Model Seçim Kriterlerinin Karşılaştırılması

Öz

Çalışmada zaman serileri modellemelerinde sıklıkla karşılaştığımız Düzeltilmiş R2, log-olabilirlik, Akaike Bilgi Kriteri (AIC), Schwarz Bilgi Kriteri (SIC), Hannan-Quinn (HQ) Bilgi Kriteri ve Ortalama Hata Kareler (MSE) gibi model seçim kritelerinin karşılaştırılması amaçlanmaktadır. Bu bağlamda, toplamsal bir zaman serisi için, sabit, trend, mevsimsel ve düzensiz bileşeni içeren (17) farklı durağan stokastik süreçten n=60’dan n=500’e kadar farklı örneklem büyüklüklerinde veri üretilmiştir. Her bir üretim 10000 kez tekrarlanarak kriterler hesaplatılmıştır. Çok büyük örneklem uzunluklarında HQ bilgi kriteri her türlü zaman serisi için en iyi sonuçları vermektedir. Log-olabilirlik ise hemen hemen modellerin tamamında kötü bir performas sergilediği gözlenmiştir. Örneklem büyüklüğü 120'den küçük modeller için "Düzeltilmiş R2"nin, daha büyük örneklem büyüklüklerine gidildikçe “AIC” kriterinin doğru modeli seçmek için en iyi seçenek olduğu bulunmuştur.

Anahtar Kelimeler

• Durağan Stokastik Süreç
• Model Seçim Kriterleri
• Veri Üretim Süreci
• Monte Carlo Simülasyonu

Kaynakça

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