Dear all: I want to estimate model using data: 1980M1 to 1990M12 Model estimation: AR(1) (observation:1980M2-1990M12) AR(2) (observation:1980M3-1990M12) AR(3) (observation:1980M4-1990M12) Can I compare AIC of these three models ? In order to make the number of observations the same, I have to set the data range from 1980M4 to 1990M12. Model estimation: AR(1) (observation:1980M4-1990M12) AR(2) (observation:1980M4-1990M12) AR(3) (observation:1980M4-1990M12) Can I compare AIC of these three models now ? I am confused. The outcome of AR(1) (also AR(2) ) are different. My original idea is to build the model to fit the data from 1980M1 to 1990M12. But in order to compare AIC, I have to set the data range from 1980M4 to 1990M12. It is away from my original idea. How can I build model for data from 1980M1 to 1990M12 and also compare the AIC from different model?