Weighted average information criterion for selection of an asymmetric price relationship

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dc.contributor.authorAcquah, Henry De-Graft
dc.date.accessioned2021-02-21T14:18:29Z
dc.date.available2021-02-21T14:18:29Z
dc.date.issued2018
dc.departmentALKÜ
dc.description.abstractTThis study evaluates the performance of the recently developed model selection criteria (WIC) against commonly used alternatives (AIC and BIC) in terms of their ability to recover the true asymmetric data generating process. Monte Carlo simulation results indicate that the performance of the model selection methods depends on the sample size, the difference in asymmetric adjustment parameters and the amount of noise in the model used in the application. WIC outperforms AIC and BIC under stable conditions such as a large sample and small noise levels. Additionally, WIC outperforms AIC and BIC as the difference between asymmetric adjustment speeds increases. These results suggest that WIC is a very reliable and useful criterion in asymmetric price transmission model selection.
dc.description.abstractTThis study evaluates the performance of the recently developed model selection criteria (WIC) against commonly used alternatives (AIC and BIC) in terms of their ability to recover the true asymmetric data generating process. Monte Carlo simulation results indicate that the performance of the model selection methods depends on the sample size, the difference in asymmetric adjustment parameters and the amount of noise in the model used in the application. WIC outperforms AIC and BIC under stable conditions such as a large sample and small noise levels. Additionally, WIC outperforms AIC and BIC as the difference between asymmetric adjustment speeds increases. These results suggest that WIC is a very reliable and useful criterion in asymmetric price transmission model selection.
dc.identifier.endpage155en_US
dc.identifier.issn2547-9733
dc.identifier.issn2651-4192
dc.identifier.issue2en_US
dc.identifier.startpage147en_US
dc.identifier.urihttps://doi.org/10.29023/alanyaakademik.343737
dc.identifier.urihttps://dergipark.org.tr/tr/download/article-file/484438
dc.identifier.urihttps://hdl.handle.net/20.500.12868/1326
dc.identifier.volume2en_US
dc.language.isoen
dc.publisherAlanya Alaaddin Keykubat Üniversitesi
dc.relation.ispartofAlanya Akademik Bakış
dc.relation.publicationcategoryMakale - Ulusal Hakemli Dergi - Başka Kurum Yazarı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectPrice Asymmetry
dc.subjectAkaike’s Information Criteria (AIC)
dc.subjectBayesian Information Criteria (BIC)
dc.subjectWeighted Average Information Criteria (WIC)
dc.subjectPrice Asymmetry
dc.subjectAkaike’s Information Criteria (AIC)
dc.subjectBayesian Information Criteria (BIC)
dc.subjectWeighted Average Information Criteria (WIC)
dc.titleWeighted average information criterion for selection of an asymmetric price relationship
dc.title.alternativeWeighted average information criterion for selection of an asymmetric price relationship
dc.typeArticle

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2018 - Cilt 2 - Sayı 2