Abstract

We propose an approach could be used to select the right order of moving average model. We used simulation study to compare four model selection criteria with and without the help of our approach. The comparison of the four model selection criteria was in terms of their percentage of number of times that they identify the right order of moving average model with and without the help of our approach. The simulation results indicate that overall, our approach showed improving in the performance of the four model selection criteria comparing to their performance without the help of our approach, where the Schwarz’s Bayes information criteria (SBC) criterion provided the best performance for all the cases considered in the study. The main result of our article is that we recommend using our approach with SBC criterion as a standard procedure to identify the right order of moving average model.

Key words: Time series, moving average process, information criteria, MCB Procedure.