Yıl 2018, Cilt 2, Sayı 2, Sayfalar 147 - 155 2018-05-31

Weighted Average Information Criterion for Selection of an Asymmetric Price Relationship
Weighted Average Information Criterion for Selection of an Asymmetric Price Relationship

Henry De-Graft Acquah [1]

43 160

TThis 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.

TThis 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.

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Yazar: Henry De-Graft Acquah
Kurum: University of Cape Coast
Ülke: Turkey


Bibtex @araştırma makalesi { alanyaakademik343737, journal = {Alanya Akademik Bakış}, issn = {2547-9733}, address = {Alanya Alaaddin Keykubat Üniversitesi İşletme Fakültesi}, year = {2018}, volume = {2}, pages = {147 - 155}, doi = {10.29023/alanyaakademik.343737}, title = {Weighted Average Information Criterion for Selection of an Asymmetric Price Relationship}, key = {cite}, author = {Acquah, Henry De-Graft} }
APA Acquah, H . (2018). Weighted Average Information Criterion for Selection of an Asymmetric Price Relationship. Alanya Akademik Bakış, 2 (2), 147-155. DOI: 10.29023/alanyaakademik.343737
MLA Acquah, H . "Weighted Average Information Criterion for Selection of an Asymmetric Price Relationship". Alanya Akademik Bakış 2 (2018): 147-155 <http://dergipark.gov.tr/alanyaakademik/issue/37308/343737>
Chicago Acquah, H . "Weighted Average Information Criterion for Selection of an Asymmetric Price Relationship". Alanya Akademik Bakış 2 (2018): 147-155
RIS TY - JOUR T1 - Weighted Average Information Criterion for Selection of an Asymmetric Price Relationship AU - Henry De-Graft Acquah Y1 - 2018 PY - 2018 N1 - doi: 10.29023/alanyaakademik.343737 DO - 10.29023/alanyaakademik.343737 T2 - Alanya Akademik Bakış JF - Journal JO - JOR SP - 147 EP - 155 VL - 2 IS - 2 SN - 2547-9733- M3 - doi: 10.29023/alanyaakademik.343737 UR - http://dx.doi.org/10.29023/alanyaakademik.343737 Y2 - 2018 ER -
EndNote %0 Alanya Akademik Bakış Weighted Average Information Criterion for Selection of an Asymmetric Price Relationship %A Henry De-Graft Acquah %T Weighted Average Information Criterion for Selection of an Asymmetric Price Relationship %D 2018 %J Alanya Akademik Bakış %P 2547-9733- %V 2 %N 2 %R doi: 10.29023/alanyaakademik.343737 %U 10.29023/alanyaakademik.343737
ISNAD Acquah, Henry De-Graft . "Weighted Average Information Criterion for Selection of an Asymmetric Price Relationship". Alanya Akademik Bakış 2 / 2 (Mayıs 2018): 147-155. http://dx.doi.org/10.29023/alanyaakademik.343737