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      • Department of Economics
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      Effects of skewness and kurtosis on model selection criteria

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      Author
      Başçı, S.
      Zaman, A.
      Date
      1998
      Source Title
      Economics Letters
      Print ISSN
      0165-1765
      Electronic ISSN
      1873-7374
      Publisher
      Elsevier BV
      Volume
      59
      Issue
      1
      Pages
      17 - 22
      Language
      English
      Type
      Article
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      Abstract
      We consider the behavior of model selection criteria in AR models where the error terms are not normal by varying skewness and kurtosis. The probability of estimating the true lag order for varying degrees of freedom (k) is the interest. For both small and large samples skewness does not effect the performance of criteria under consideration. On the other hand, kurtosis does effect some of the criteria considerably. In large samples and for large values of k the usual asymptotic theory results for normal models are confirmed. Moreover, we showed that for small sample sizes performance of some newly introduced criteria which were not considered in Monte Carlo studies before are better. (C) 1998 Elsevier Science S.A.
      Keywords
      Model selection criteria
      AR lag order determination
      Robustness
      Permalink
      http://hdl.handle.net/11693/10924
      Published Version (Please cite this version)
      http://dx.doi.org/10.1016/S0165-1765(98)00036-6
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      • Department of Economics 649
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