文章基本信息

标题：ON THE COMPARISON OF BAYESIAN INFORMATION CRITERION AND DRAPER'S INFORMATION CRITERION IN SELECTION OF AN ASYMMETRIC PRICE RELATIONSHIP: BOOTSTRAP SIMULATION RESULTS
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作者：Henry de-Graft Acquah ; Joseph 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：3
期号：15
页码：73-78
出版社：Russian Journal of Agricultural and Socio-Economic Sciences
摘要：Alternative formulations of the Bayesian Information Criteria provide a basis for choosing between competing methods for detecting price asymmetry. However, very little is understood about their performance in the asymmetric price transmission modelling framework. In addressing this issue, this paper introduces and applies parametric bootstrap techniques to evaluate the ability of Bayesian Information Criteria (BIC) and Draper's Information Criteria (DIC) in discriminating between alternative asymmetric price transmission models under various error and sample size conditions. The results of the bootstrap simulations indicate that model selection performance depends on bootstrap sample size and the amount of noise in the data generating process. The Bayesian criterion clearly identifies the true asymmetric model out of different competing models in the presence of bootstrap samples. Draper's Information Criteria (DIC; Draper, 1995) outperforms BIC at either larger bootstrap sample size or lower noise level.
关键词：Bayesian Information Criteria (BIC); Draper's Information Criteria (DIC); Model Selection; Bootstrap; Asymmetric Price Transmission Model.