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Journal of the Nigerian Association of Mathematical Physics

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On full order autoregressive model fitting

Ette Harrison Etuk

Abstract


This is a study of the relative performance of nine automatic autoregressive order determination criteria for full-order modeling using the least squares approach. Of the nine: AIC, FPE, CAT2, S, FPE4, Φ, SIC, BIC and CAT3, we have found the trio, AIC, FPE and CAT3, to be the most consistent. The rest underestimate relatively.

Journal of the Nigerian Association of Mathematical Physics, Volume 15 (November, 2009), pp 117 – 122



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