Autoregressive lag length selection criteria in the presence of ARCH errors
Publication in refereed journal


香港中文大学研究人员 ( 现职)

庄太量教授 (经济学系)

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摘要We study the effects of ARCH errors on the performance of the commonly used lag length selection criteria. The most important finding of this study is that SIC, FPE, HQC and BIC perform considerably well in estimating the true autoregressive lag length, even in the presence of ARCH errors. Thus, we conclude that these criteria are applicable to empirical data such as stock market returns and exchange rate volatility that exhibit ARCH effects.

着者Liew V.K.-S., Chong T.T.-L.
期刊名称Economics Bulletin
出版年份2005
月份12
日期1
卷号3
期次1
出版社Economics Bulletin
出版地United States
国际标準期刊号15http://aims.cuhk.edu.hk/converis/portal/Publication/45-2921
语言英式英语