文章基本信息

标题：Autoregressive Lag Length Selection Criteria in the Presence of ARCH Errors
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作者：Venus Khim-Sen Liew ; Terence Tai-leung Chong
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2005
卷号：3
出版社：Economics Bulletin
摘要：We study the effects of ARCH errors on the performance of the commonly used lag length selection criteria. The most important finding of this study is that SIC, FPE, HQC and BIC perform considerably well in estimating the true autoregressive lag length, even in the presence of ARCH errors. Thus, we conclude that these criteria are applicable to empirical data such as stock market returns and exchange rate volatility that exhibit ARCH effects.