请教关于AR模型设定的问题

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

there are two estimated competing models AR(i) and AR(j) (i != j). Does BIC(i)<AIC(j) suggest we should choose AR(i) model?
Note: T is sufficiently large.

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏0 回帖

关键词：AR模型 Competing estimated estimate models 请教 模型

这是我自己的答案，但我觉得有些问题
Yes. Because that the BIC estimator of the lag length, i, in an autoregression is correct in lagrge samples (Recall that T is sufficiently large). That is, Pr(i=p)→1. This is not true for the AIC estimator, which can overestimate p even in large samples.