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

Yıl 2002, Cilt: 31, 127 - 137, 01.12.2001

Cem Kadılar Cenap Erdemir

Öz

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.

Anahtar Kelimeler

VAR models, Information criteria, Seasonality

Kaynakça

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