criterion (BIC), adjusted R2, Mallows' Cp, Akaike information criteria (AIC), AICc, and stepwise regression] using Monte … uncertainty in model specification should be explicitly discussed. In large samples, BIC is better than the other procedures at … theory, both BIC and stepwise appear to be reasonable model selection strategies in large samples. Under the conditions …

Akaike information criterion (AIC) and the Bayesian information criterion (BIC). This paper considers several topics: how AIC … and BIC choose lags in autoregressive models on actual series, how models so selected forecast relative to an AR(4) model …, the effect of using a maximum lag on model selection, and the forecasting performance of combining AR(4), AIC, and BIC …