varselect in R, I usually get a few different models to choose from based on different statistics. I know of:
- Akaike information criterion (AIC)
- Bayesian information criterion (BIC) or Schwarz criterion (SC)
- Final Prediction Error (FPE) criterion
- Hannan–Quinn information criterion (HQC)
What is the practical difference between these tests and under what circumstances should I prefer one over the other?