Finite sample properties of the Extended Bayesian Information Criterion and related simulations with autocorrected data

Simulations were performed based on McLeod and Zhang's (2008) R package FitAR function SelectModel. Specifically, the BIC (Schwarz, 1978) and the UBIC (Chen Chen, 2008) were compared under time series autoregression models. A model selection algorithm for ordinary regression with autocorrelated error was proposed with both BIC and UBIC. The evaluation of its performance was also conducted. These simulations were performed using a method of subset selection of partial autocorrelations. A short discussion is provided on the consistency property of Chen and Chen's (2008) Extended BIC in the case of autoregression. Finally, an application involving in-hospital respiratory device usage was investigated.