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Overview of model selection methods based on information criteria
[Обзор Методов Выбора Модели На Основе Информационных Критериев]

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  • Skrobotov, Anton (Скроботов, Антон)

    (The Russian Presidential Academy of National Economy and Public Administration)

Abstract

This paper propose the review of the model selection approaches based on information criteria. Different types of non-stationary modelas with unit root, cointegration and non-stationary volatility are considered.

Suggested Citation

  • Skrobotov, Anton (Скроботов, Антон), 2020. "Overview of model selection methods based on information criteria [Обзор Методов Выбора Модели На Основе Информационных Критериев]," Working Papers 032017, Russian Presidential Academy of National Economy and Public Administration.
    • Handle: RePEc:rnp:wpaper:032017
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    Keywords

    unit root; information criteria; non-stationary volatility; seasonality;
    All these keywords.

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