ARIMA comparison Seasonal VS Non-Seasonal

Hello everyone,

I tried to compare some models I built for a certain time series. I have 2 non-seasonal arima models, ARMA(1,1) & ARMA(1,0) and 2 seasonal ARIMA models, ARMA(1,1)x(1,0)[48] & ARMA(1,0)x(1,0)[48].

I used aicbic function to obtain the values of these criteria and although the seasonal models perform better from the non-seasonals, the values of AIC and BIC are smaller for the non-seasonal which make no-sense.

So, my question is --> Can I compare seasonal with non-seasonal models by using AIC and BIC or not?

Thank you!

[Hamed Majidiyan]

Hi Ioannis,

Could you share the code BIC function which you have used for your simulation?

Regards