Author： CEM KADILAR CENAP ERDEMìR
Publisher： Taylor & Francis Ltd
ISSN： 0094-9655
Source： Journal of Statistical Computation and Simulation, Vol.73, Iss.2, 2002-01, pp. : 135-143
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Abstract
Seasonal behavior is shown to diminish the performance of the Akaike information criterion (AIC) used for determining the order of vector autoregressive (VAR) models. To solve this problem we modified the AIC for seasonal VAR (SVAR) models, using simulation results to develop the seasonally modified AIC. This proposed AIC performs better than the traditional AIC in SVAR models.
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