May 1, 1993

A Corrected Akaike Information Criterion for Vector Autoregressive Model Selection

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Abstract

Abstract. We develop a small‐sample criterion (AIC C ) for the selection of the order of vector autoregressive models. AIC C is an approximately unbiased estimator of the expected Kullback‐Leibler information. Furthermore, AIC C provides better model order choices than the Akaike information criterion in small samples.

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Hurvich et al. (Sat,) studied this question.

synapsesocial.com/papers/6a1cac05f1b3da30e48991e2 https://doi.org/https://doi.org/10.1111/j.1467-9892.1993.tb00144.x

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