Research Article
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 | | | | | | | | ā |
| 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 |
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