Temporal Aggregation and the Akaike and Schwarz Model Selection Criteria. Some Monte Carlo Results

This short paper demonstrates that the use of temporally aggregated data may affect the performance of the well known Akaike and Schwarz model selection criteria. These two criteria are widely used for model selection in linear and nonlinear models. Using Monte Carlo techniques, we find that temporal aggregation could affect seriously the performance of the two aforementioned criteria.

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Year of publication:	2007
Authors:	Xanthos, George ; Gilas, Kostantinos ; Tserkezos, Dikaios
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 28.2007, 8, p. 0-0
Publisher:	AccessEcon

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008556130