Liew, Venus Khim-Sen; Chong, Terence Tai-leung - In: Economics Bulletin 3 (2005) 19, pp. 1-5
We study the effects of ARCH errors on the performance of the commonly used lag length selection criteria. The most important finding of this study is that SIC, FPE, HQC and BIC perform considerably well in estimating the true autoregressive lag length, even in the presence of ARCH errors. Thus,...