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

Table 4

Frequency of selection of the true model in the nonbootstrap () and bootstrap () world, for different sample sizes.

DGP		SC
					AIC	59.2	72.0	71.5	80.5	79.1	84.3	81.8	85.5
FPE	56.2	65.6			68.5	76.1	75.4	80.2	78.5	82.3
BIC	65.5	79.7			78.7	89.8	87.3	93.8	92.6	95.5
HQC	63.3	77.2			76.4	85.3	86.6	91.2	91.5	93.4
		AIC	52.5	61.2	65.7	73.6	74.3	80.3	79.6	82.8
		FPE	51.4	59.1	66.0	71.5	72.9	78.7	75.5	80.4
		BIC	57.3	67.5	72.4	79.7	80.7	84.6	85.2	87.1
		HQC	50.8	63.5	67.4	74.2	76.3	79.4	81.5	83.7
		AIC	45.3	55.7	60.5	69.3	70.2	75.6	73.7	77.2
		FPE	42.5	54.1	57.0	64.9	64.4	70.1	67.6	71.7
		BIC	53.1	65.8	67.3	77.6	76.5	83.1	82.7	84.9
		HQC	50.7	65.4	67.5	75.6	76.0	80.6	81.3	83.1
		AIC	47.8	58.1	61.2	68.4	68.3	72.6	69.7	73.7
		FPE	44.2	53.8	56.5	62.7	64.7	68.6	66.6	70.8
		BIC	51.9	64.2	65.3	71.8	72.5	76.6	74.7	77.5
		HQC	49.7	62.3	66.4	75.0	73.3	79.4	78.0	80.6