Model selection for regression with heteroskedastic and autocorrelated errors
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DOI: 10.1016/j.econlet.2012.12.035
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References listed on IDEAS
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- Mao, Guangyu, 2015. "Model selection of M-estimation models using least squares approximation," Statistics & Probability Letters, Elsevier, vol. 99(C), pages 238-243.
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More about this item
Keywords
Information criterion; Model selection; Selection consistency;All these keywords.
JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
Statistics
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