Lag order ARCH(q)
Posted: Thu Aug 09, 2012 9:17 am
Hi there -
I'm trying to estimate an ARCH(q)-model for a time series of approximately 2000 observations and decided to use the Schwarz-Bayes information criterion to determine the lag order q.
Now my question:
The lowest SIC I obtained was for the ARCH(9)-model. However I have one insignificant parameter in this model, namely a1.
ARCH(1)-ARCH(8) have all only significant parameters and the information criteria decreases gradually with the lag order.
Now for my further analysis, do I consider the ARCH(8) model with only significant parameters, or the ARCH(9)-model with the lowest information criterion?
Thank you so much for your help!
Sonja
I'm trying to estimate an ARCH(q)-model for a time series of approximately 2000 observations and decided to use the Schwarz-Bayes information criterion to determine the lag order q.
Now my question:
The lowest SIC I obtained was for the ARCH(9)-model. However I have one insignificant parameter in this model, namely a1.
ARCH(1)-ARCH(8) have all only significant parameters and the information criteria decreases gradually with the lag order.
Now for my further analysis, do I consider the ARCH(8) model with only significant parameters, or the ARCH(9)-model with the lowest information criterion?
Thank you so much for your help!
Sonja