We show that Akaike’s Information Criterion (AIC) and its variants are asymptotically efficient in integrated autoregressive processes of infinite order (AR(∞)). This result, together with its stationary counterpart established previously in the literature, ensures that AIC can ultimately...

Zhang and Shaman considered the problem of estimating the conditional mean-squared prediciton error (CMSPE) for a Gaussian autoregressive (AR) process. They used the final prediction error (FPE) of Akaike to estimate CMSPE and proposed that FPE's effectiveness be judged by its asymptotic...