The formulae for the AIC and the BIC are different. The
A)AIC is preferred because it is easier to calculate
B)BIC is preferred because it is a consistent estimator of the lag length
C)difference is irrelevant in practice since both information criteria lead to the same conclusion
D)AIC will typically underestimate p with non-zero probability

Question

Quizplus · Accepted Answer

BIC is preferred because it provides a penalty for the number of estimated parameters, which addresses the issue of overfitting. It is also a consistent estimator of the true model among a set of candidate models, whereas AIC is not always consistent.

The Formulae for the AIC and the BIC Are Different