Specification of Economic Time Series Models Using Akaike's Criterion
利用 Akaike 准则选择经济时间序列模型
In this article we use the procedures introduced by Akaike (1974, 1976) and Schwarz (1978) to investigate the optimal specification of autoregressive moving average (ARMA) models for a group of major economic time series (see also Fine and Hwang 1979; Sawa 1978; Kashyap 1977; Leamer 1979; Chow 1979). The basic question we ask is whether the short AR representations that are estimated on an ad hoc basis in economics are validated by these more objective criteria. The article…