A paper from the CEPR suggests, in the context of VAR models, that AIC tends to be more accurate with monthly data, HQIC works better for quarterly data on samples over 120 and SBIC works fine with any sample size for quarterly data (on VEC models)**.
对于月度数据,通常AIC的建议会比较精确
对于季度数据,相对样本较大的,使用HQIC的建议会比较好
对于季度数据,任何样本数量,在VEC模型下,SBIC的建议都适用
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