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| Venus Khim-Sen Liew and Terence Tai-leung Chong |
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| ''Autoregressive Lag Length Selection Criteria in the Presence of ARCH Errors'' |
| ( 2005, Vol. 3 No.19 ) |
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| We study the effects of ARCH errors on the performance of the commonly used lag length selection criteria. The most important finding of this study is that SIC, FPE, HQC and BIC perform considerably well in estimating the true autoregressive lag length, even in the presence of ARCH errors. Thus, we conclude that these criteria are applicable to empirical data such as stock market returns and exchange rate volatility that exhibit ARCH effects. |
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| Keywords: |
JEL: C2 - Single Equation Models; Single Variables: General
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| Manuscript Received : Mar 11 2005 | | Manuscript Accepted : Apr 01 2005 |
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