Title of article :
Selecting the order of an ARCH model
Author/Authors :
Anthony W. Hughes، نويسنده , , Maxwell L. King، نويسنده , , Kian Teng Kwek، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2004
Abstract :
Since the parameters of an autoregressive conditional heteroskedasticity (ARCH) process must be non-negative, inference on ARCH parameters can be improved by using inequality constrained estimation. In this paper, we extend this principle to the problem of ARCH lag order selection. We show that in the case of AIC, the appropriate adjustment to the penalty function has a simple form.
Keywords :
One-sided AIC , Inequality constrained maximum likelihood , Model selection
Journal title :
Economics Letters
Journal title :
Economics Letters