A monte carlo study on the interaction between model selection and testing nonnormality in autoregressive models

A monte carlo study on the interaction between model selection and testing nonnormality in autoregressive models

We investigate the interaction between model selection procedure and testing nonnormality in autoregressive processes when the sample size is small, we utilize residual skewness, kurtosis and an omnibus statistic as test statistics and AIC, SC and HQ as model selection criteria. The result of a Mont...

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Veröffentlicht in:Communications in statistics. Simulation and computation 1994-01, Vol.23 (4), p.925-937
1. Verfasser: Fukushige, Mototsugu
Format: Artikel
Sprache:eng
Schlagworte:
autoregressive process
Exact sciences and technology
Inference from stochastic processes
time series analysis
kurtosis
Mathematics
model selection
normality
omnibus test
Probability and statistics
Sciences and techniques of general use
skewness
Statistics
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Zusammenfassung:We investigate the interaction between model selection procedure and testing nonnormality in autoregressive processes when the sample size is small, we utilize residual skewness, kurtosis and an omnibus statistic as test statistics and AIC, SC and HQ as model selection criteria. The result of a Monte Carlo simulation with some AR(3) models shows that the performance of the statistics from the selected model is as well as those from the true mode 1
ISSN:0361-0918
1532-4141
DOI:10.1080/03610919408813209