Medel, Carlos A.; Salgado, Sergio C. - In: Revista de Analisis Economico – Economic Analysis Review 28 (2013) 1, pp. 47-64
We test two questions: (i) Is the Bayesian Information Criterion (BIC) more parsimonious than Akaike Information Criterion (AIC)? and (ii) Is BIC better than AIC for forecasting purposes? By using simulated data, we provide statistical inference of both hypotheses individually and then jointly...