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Theory and Method

Fitting Autoregressions

Pages 590-592 | Received 01 Apr 1974, Published online: 05 Apr 2012
 

Abstract

When using Akaike's final prediction error (fpe) criterion for selecting the order of an autoregression, it is necessary that the proper estimate of mean square error be used. Replacing an “unbiased” estimate by a “biased” estimate completely changes the properties of the criterion. Simulations carried out by Bhansali are repeated using the proper criterion, and the results show that some of his conclusions are not correct.

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