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

Table 3

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

Model	Test	AIC		FPE		BIC		HQC
		ARMA (); (SET I)		49.6	58.7	46.3	54.1	56.7	66.8	53.2	64.4
	45.5		51.0	39.5	44.7	47.9	54.8	51.9	59.4
	39.0		43.4	37.1	41.2	45.4	51.2	48.6	54.7
	29.5		26.4	26.8	23.6	33.4	30.7	30.9	27.4
	42.4		48.4	39.5	44.7	48.3	55.6	50.6	58.3
ARMA (); (SET II)		58.7	68.9	53.5	62.3	65.4	77.2	60.4	73.1
		51.9	57.6	48.1	53.4	55.7	62.8	57.6	66.5
		49.0	53.3	44.6	48.8	51.5	57.2	53.0	59.8
		33.8	30.7	22.7	25.3	31.4	33.6	36.3	37.4
		50.3	56.4	43.0	48.6	57.2	64.6	58.1	66.3
ARMA (); (SET III)		52.4	62.1	50.5	58.6	60.3	71.3	57.6	69.7
		48.9	54.2	42.5	47.4	51.1	57.2	54.5	61.7
		44.2	48.3	35.4	38.6	47.2	52.3	50.8	56.2
		24.7	22.6	21.0	18.4	26.1	24.2	32.0	29.8
		44.4	50.6	36.2	41.3	55.0	61.2	56.3	62.9