Effects of skewness and kurtosis on model selection criteria

Date
1998
Authors
Başçı, S.
Zaman, A.
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Source Title
Economics Letters
Print ISSN
0165-1765
Electronic ISSN
1873-7374
Publisher
Elsevier BV
Volume
59
Issue
1
Pages
17 - 22
Language
English
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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.

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