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  • Revista de Análisis Económico
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  • Universidad Alberto Hurtado
  • Revista de Análisis Económico
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DOES THE BIC ESTIMATE AND FORECAST BETTER THAN THE AIC?

Author
MEDEL,CARLOS A

SALGADO,SERGIO C

Full text
https://scielo.conicyt.cl/scielo.php?script=sci_arttext&pid=S0718-88702013000100003
Abstract
We test two questions: (i) Is the Bayesian Information Criterion (BIC) more parsimonious thanAkaike Information Criterion (AIC)? and(ii) Is BICbetter than AIC for forecasting purposes? By using simulated data, we provide statistical inference of both hypotheses individually and then jointly with a multiple hypotheses testing procedure to control better for type-I error. Both testing procedures deliver the same result: The BIC shows an in- and out-of-sample superiority over AIC only in a long-sample context.
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Discipline
Artes, Arquitectura y UrbanismoCiencias Agrarias, Forestales y VeterinariasCiencias Exactas y NaturalesCiencias SocialesDerechoEconomía y AdministraciónFilosofía y HumanidadesIngenieríaMedicinaMultidisciplinarias
Institutions
Universidad de ChileUniversidad Católica de ChileUniversidad de Santiago de ChileUniversidad de ConcepciónUniversidad Austral de ChileUniversidad Católica de ValparaísoUniversidad del Bio BioUniversidad de ValparaísoUniversidad Católica del Nortemore

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