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Variance Estimates and Model Selection

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Author Info
Sýdýka Baþçý
Asad Zaman

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Paper provided by Bilkent University, Department of Economics in its series Departmental Working Papers with number 9814.

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Date of creation: 1998
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Handle: RePEc:bil:bilpap:9814

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Web page: http://www.bilkent.edu.tr/~economics/
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Related research
Keywords: Autoregressive process; lag order determination; model selection criteria; cross-validation; forecasting;

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References listed on IDEAS
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  1. Diebold, Francis X., 1989. "Forecast combination and encompassing: Reconciling two divergent literatures," International Journal of Forecasting, Elsevier, vol. 5(4), pages 589-592. [Downloadable!] (restricted)
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  2. Amemiya, Takeshi, 1980. "Selection of Regressors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(2), pages 331-54, June. [Downloadable!] (restricted)
  3. Baci, Sidika & Zaman, Asad, 1998. "Effects of skewness and kurtosis on model selection criteria," Economics Letters, Elsevier, vol. 59(1), pages 17-22, April. [Downloadable!] (restricted)
  4. Zaman, A., 1984. "Avoiding model selection by the use of shrinkage techniques," Journal of Econometrics, Elsevier, vol. 25(1-2), pages 73-85. [Downloadable!] (restricted)
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This page was last updated on 2009-11-30.

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