In this article, we investigate the behavior of Bozdogan's Information criterion (ICOMP) and other information criteria in a time series context. The study entails simulating stationary autoregressive moving average models 1,000 times and then fitting different time series models to the simulated series. Different series will be considered by changing the size of the residual variance as well as the sample size of the time series. It was found that under certain conditions ICOMP selects the correct time series model most often, although it is suggested that no single information criteria should be used independently of other information criteria.
['Allan E. Clark', 'C. G. Troskie']
Time Series and Model Selection