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Advances and Applications in Statistics
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Abstract: . This paper presents a review of the main criteria for
model selection used in the classical methodology. A
Monte Carlo
simulation study is conducted in order to compare the performance of
significance tests, adjusted
final prediction error, Akaike
information criterion, Schwarz information criterion, Hannan-Quinn criterion and
corrected Akaike information criterion.
Keywords and phrases: distributed lag, lag length determination, Monte Carlo simulation.
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P-ISSN: 0972-3617
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