Schwarz Criterion: How to use it?
Posted: Sun Jun 19, 2011 3:28 pm
How do I use the Schwarz Criterion for model selection?
Example: I have a simple regression model with one explanatory variable and I want to determine how many lags of that explanatory variable are optimal for the model? How do I use the Schwarz's Criterion for that? Do I simply select the number of lags with the largest/lowest Schwarz criterion figure?
P.S. Any simple rule of thumb when to use Akaike and when to use Schwarz? Should I look at any other criterion/figures by model selection?
Example: I have a simple regression model with one explanatory variable and I want to determine how many lags of that explanatory variable are optimal for the model? How do I use the Schwarz's Criterion for that? Do I simply select the number of lags with the largest/lowest Schwarz criterion figure?
P.S. Any simple rule of thumb when to use Akaike and when to use Schwarz? Should I look at any other criterion/figures by model selection?