文章基本信息

标题：ASYMMETRIC PRICE TRANSMISSION MODELING: THE IMPORTANCE OF MODEL COMPLEXITY AND THE PERFORMANCE OF THE SELECTION CRITERIA
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作者：Henry de-Graft Acquah
期刊名称：Russian Journal of Agricultural and Socio-Economic Sciences
印刷版ISSN：2226-1184
电子版ISSN：2226-1184
出版年度：2013
卷号：1
期号：13
页码：43-48
出版社：Russian Journal of Agricultural and Socio-Economic Sciences
摘要：Information Criteria provides an attractive basis for selecting the best model from a set of competing asymmetric price transmission models or theories. However, little is understood about the sensitivity of the model selection methods to model complexity. This study therefore fits competing asymmetric price transmission models that differ in complexity to simulated data and evaluates the ability of the model selection methods to recover the true model. The results of Monte Carlo experimentation suggest that in general BIC, CAIC and DIC were superior to AIC when the true data generating process was the standard error correction model, whereas AIC was more successful when the true model was the complex error correction model. It is also shown that the model selection methods performed better in large samples for a complex asymmetric data generating process than with a standard asymmetric data generating process. Except for complex models, AIC's performance did not make substantial gains in recovery rates as sample size increased. The research findings demonstrate the influence of model complexity in asymmetric price transmission model comparison and selection.
关键词：Monte Carlo Simulation; Asymmetric Price Transmission; Model Selection; Model Complexity; Information Criteria; Model Recovery Rate.