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时间序列建模ä&c

时间序列建模ä&c

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第 1 第 第第第第第第第第第第第第第 12000第 第第第第 第第 (1976.8——(((((((((((((((((((((((((((((((((((((((((((((((((((((((((((((((( ((((((((( 第第第 021—65902195(O((13818076079 Email第 [email protected] 第第第 (((((( 777 (((((((((((((((200433( 第第第第第第第第第第第第第第第第第第第第第第第第第第 (( -1-
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(((((((((((((( 200433) 第第第 (((((((((((((((((((((((((((((((( Monte—Carlo ((((((( 1 (( 2 ((((((((((((((((((((((1(((((((((((((SIC ((((((((((((((((((( (((((((((((((((( 1(( AIC (((((((((((((((((((((((((((((((((((((((( 2(((((((((((((((((((((((((((((((((((((((((( 3((((((((AICC ((((((((( SIC(AIC (((((((((((((((((SIC (((((((( AICC(AIC (((((((( AICC(AIC ((((((( 第第第第 ((((((((((((((((aicc 第第第第第第 F224.0 第第第第第第 A The researches on the test power and features on the lagging number selecting criteria about the time series models ZHOU Jian (School of economics(shanghai University of Finance and Economics(Shanghai 200433.China( Abstract第 The paper studies the test power and features on the lagging number selecting criteria about the time series models. The author uses Monte-Carlo methods to systematically simulation on the all lag 1 and lag 2 autoregressive models and the conclusions show((1)The probability of correct judging of SIC increases obviously accompanying with the samples increasing and converges to 1 little by lilltle, but that of AIC can not converges to the true values. ( 2 ( The probabilities of correct judging by all the criteria functions have no relations to the stabilities of the variables.(3(The test power of AICC is much higher than that of AIC and SIC when the sample is small, which of SIC is higher than that of AIC and AICC little by little as the samples increase, furthermore the test power of AIC nearlly equals to that of AICC finally. Key words第 econometrics(systematically simulation(time series(aicc 0 第第 ((((((((((((((((((((((((((((((((((((((((( 1 (((((((((((((data generating process((( DGP((“((((((((
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