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Unformatted text preview: 1 12000 1976.8 02165902195O13818076079 Email firstname.lastname@example.org 777 200433 -1- ( 200433) MonteCarlo 1 2 1SIC 1 AIC 2 3AICC SICAIC SIC AICCAIC AICCAIC aicc F224.0 A The researches on the test power and features on the lagging number selecting criteria about the time series models ZHOU Jian School of economicsshanghai University of Finance and EconomicsShanghai 200433.China Abstract 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.3The 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 econometricssystematically simulationtime seriesaicc 0 1 data generating process DGP DGP...
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This note was uploaded on 10/10/2011 for the course ECON 3250 taught by Professor Wan during the Spring '11 term at Hong Kong Baptist University, China.
- Spring '11