We modify the criterion by Bai and Ng (2002) for determining the number of factors in approximate factor models. As in the original criterion, for any given number of factors we estimate the common and idiosyncratic components of the model by applying principal component analysis. We select the...

A new method for detecting the parameter changes in generalized autoregressive heteroskedasticity GARCH (1,1) model is proposed. In the proposed method, time series observations are divided into several segments and a GARCH (1,1) model is fitted to each segment. The goodness-of-fit of the global...

We provide a new asymptotic analysis of model selection procedure that compares likelihoods of two candidate diffusion models. Our asymptotic analysis relies on two dimensional asymptotic expansions with shrinking sampling interval Δ and increasing sampling span T, and clarifies the different...

As is well known, when using an information criterion to select the number of common factors in factor models the appropriate penalty is generally indetermine in the sense that it can be scaled by an arbitrary constant, c say, without affecting consistency. In an influential paper, Hallin and...

The predictive capability of a modification of Rissanen's accumulated prediction error (APE) criterion, APE$_{\delta_{n}}$,is investigated in infinite-order autoregressive (AR($\infty$)) models. Instead of accumulating squares of sequential prediction errors from the beginning,...

Bayes factors (BFs) play an important role in comparing the fit of statistical models. However, computational limitations or lack of an appropriate prior sometimes prevent researchers from using exact BFs. Instead, it is approximated, often using the Bayesian Information Criterion (BIC) or a...

This paper attempts to uncover the empirical relationship between the price-setting/consumer behavior and the sources of persistence in inflation and output. First, a small-scale New-Keynesian model (NKM) is examined using the method of moment and maximum likelihood estimators with US data from...

This paper proposes a new criterion for the M-estimation models based on a least squares approximation, which is proved to be selection consistent. Compared with the existing criteria, this new one has two attractive features. One is that model selection based on it has much lower computational...