Bootstrap Order Determination for ARMA Models: A Comparison between Different Model Selection Criteria

Table 2

Frequency of selection of the true model in the nonbootstrap () and bootstrap () world for .

Model	Test	AIC		FPE		BIC		HQC
		ARMA (); (SET )		42.3	52.4	41.5	50.2	52.4	62.7	47.7	60.2
	37.9		44.7	36.3	42.5	42.1	50.3	44.2	52.7
	36.3		42.4	32.7	38.1	38.4	45.4	42.0	49.3
	23.1		20.3	21.9	18.5	29.8	26.7	25.8	24.5
	31.2		38.3	26.1	32.5	39.9	48.8	43.1	52.3
ARMA (); (SET )		49.0	59.6	47.1	55.5	59.2	71.3	52.4	65.5
		47.5	53.4	41.0	46.6	51.8	59.4	53.5	62.7
		42.0	47.2	39.2	43.6	46.0	53.5	47.6	55.6
		28.2	26.3	24.2	21.5	27.6	30.2	31.5	33.4
		38.3	44.1	34.3	39.4	43.5	51.8	45.9	57.0
ARMA (); (SET )		47.5	57.9	43.6	53.2	55.4	67.0	48.5	61.3
		32.4	38.4	29.3	34.6	45.3	52.8	48.1	56.3
		31.6	36.7	28.1	32.4	34.7	41.3	38.5	45.7
		25.8	23.3	19.6	16.5	24.6	23.7	29.4	28.3
		35.1	41.4	32.2	37.6	46.4	54.2	44.7	54.4