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Information Criteria for Selecting Possibly Misspecified Parametric Models

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Author Info
Chor-Yiu Sin
Halbert White

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Paper provided by Department of Economics, UC San Diego in its series University of California at San Diego, Economics Working Paper Series with number 92-47.

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Date of creation: Nov 1992
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Handle: RePEc:cdl:ucsdec:92-47

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  1. Driffill, John & Kenc, Turalay & Sola, Martin & Spagnolo, Fabio, 2004. "On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts," CEPR Discussion Papers 4165, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  2. Jesús Miguel & Pilar Olave, 1999. "Bootstrapping forecast intervals in ARCH models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 8(2), pages 345-364, December. [Downloadable!] (restricted)
  3. Stan Hurn, 2004. "Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity," Econometric Society 2004 Australasian Meetings 348, Econometric Society. [Downloadable!]
    Other versions:
  4. Donald W.K. Andrews & Biao Lu, 1999. "Consistent Model and Moment Selection Criteria for GMM Estimation with Applications to Dynamic Panel Data Models," Cowles Foundation Discussion Papers 1233, Cowles Foundation, Yale University. [Downloadable!]
  5. GONÇALVES, Silvia & WHITE, Halbert, 2001. "The Bootstrap of Mean for Dependent Heterogeneous Arrays," Cahiers de recherche 2001-19, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
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  6. George Kapetanios, 2003. "Bootstrap Neural Network Cointegration Tests Against Nonlinear Alternative Hypotheses," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 7(2), pages 1099-1099. [Downloadable!] (restricted)
  7. P. Deb & F. Rosati, 2002. "Determinants of Child Labour and School Attendance: The Role of Household Unobservables," UCW Working Paper 9, Understanding Children's Work (UCW Project). [Downloadable!]
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  8. Óscar D. Lourenço & Pedro L. Ferreira, 2005. "Utilization of public health centres in Portugal: effect of time costs and other determinants. Finite mixture models applied to truncated samples," Health Economics, John Wiley & Sons, Ltd., vol. 14(9), pages 939-953. [Downloadable!]
  9. M Sensier & M Artis & C R Birchenhall & D R Osborn, 2002. "Domestic and International Influences on Business Cycle Regimes in Europe," Centre for Growth and Business Cycle Research Discussion Paper Series 11, Economics, The Univeristy of Manchester. [Downloadable!]
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  10. Fabio Mercurio, Juan M. Moraleda, 2001. "A family of humped volatility models," European Journal of Finance, Taylor and Francis Journals, vol. 7(2), pages 93-116, June. [Downloadable!] (restricted)
  11. Stefania D'Amico, 2005. "Density selection and combination under model ambiguity: an application to stock returns," Finance and Economics Discussion Series 2005-09, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  12. Ventzislav Ivanov & Lutz Kilian, 2005. "A Practitioner's Guide to Lag Order Selection For VAR Impulse Response Analysis," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 9(1), pages 1219-1219. [Downloadable!] (restricted)
  13. Windrum,Paul & Birchenhall,Chris, 2002. "Technological diffusion, welfare and growth: technological succession in the presence of network externalities," Research Memoranda 038, Maastricht : MERIT, Maastricht Economic Research Institute on Innovation and Technology. [Downloadable!]
  14. C R Birchenhall & D R Osborn & M Sensier, 2000. "Predicting UK Business Cycle Regimes," Centre for Growth and Business Cycle Research Discussion Paper Series 02, Economics, The Univeristy of Manchester. [Downloadable!]
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  15. Ivanov, Ventzislav & Kilian, Lutz, 2001. "A Practitioner's Guide to Lag-Order Selection for Vector Autoregressions," CEPR Discussion Papers 2685, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  16. Michael Baker & Angelo Melino, 1999. "Duration Dependence and Nonparametric Heterogeneity: A Monte Carlo Study," Working Papers melino-99-01, University of Toronto, Department of Economics. [Downloadable!]
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  17. Han Hong & Bruce Preston, 2008. "Bayesian Averaging, Prediction and Nonnested Model Selection," NBER Working Papers 14284, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  18. Partha Deb & Ann M. Holmes, 2000. "Estimates of use and costs of behavioural health care: a comparison of standard and finite mixture models," Health Economics, John Wiley & Sons, Ltd., vol. 9(6), pages 475-489.
  19. Zaka Ratsimalahelo, 2003. "Rank Test Based On Matrix Perturbation Theory," Econometrics 0306008, EconWPA. [Downloadable!]
  20. Chris Brooks & Simon Burke, 2003. "Information criteria for GARCH model selection," European Journal of Finance, Taylor and Francis Journals, vol. 9(6), pages 557-580, December. [Downloadable!] (restricted)
  21. Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2004. "On Markov error-correction models, with an application to stock prices and dividends," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(1), pages 69-88. [Downloadable!]
  22. Windrum,Paul & Birchenhall,Chris, 2004. "Structural change in the presence of network externalities: a co-evolutionary model of technological successions," Research Memoranda 012, Maastricht : MERIT, Maastricht Economic Research Institute on Innovation and Technology. [Downloadable!]
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  23. Xiaohong Chen & Yanqin Fan, 2004. "Estimation and Model Selection of Semiparametric Copula-Based Multivariate Dynamic Models under Copula Misspecification," Working Papers 0419, Department of Economics, Vanderbilt University, revised Sep 2004. [Downloadable!]
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This page was last updated on 2008-9-28.

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