alvarezcc wrote:Hi! I have a question regarding the selection of the moving average order and the delay parameter. What is the best way to select this options? For example, if using a moving average order of 2 I obtain a lower value for the logdet(sigma) when using ma=3, does this means that I should select the ma order of 2? This same logic applies for the delay parameter?
Thanks in advance
I think that the best way to select the length of moving average is try to look at the impulse response functions. Check it is sensitive to the length of MA. The logdet(sigma) does not matter for choosing the length of MA. It matters for selecting the threshold level conditional on some parameters of the model.