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Effects of skewness and kurtosis on model selection criteria

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  • Baci, Sidika
  • Zaman, Asad

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  • Baci, Sidika & Zaman, Asad, 1998. "Effects of skewness and kurtosis on model selection criteria," Economics Letters, Elsevier, vol. 59(1), pages 17-22, April.
  • Handle: RePEc:eee:ecolet:v:59:y:1998:i:1:p:17-22
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    References listed on IDEAS

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    1. Zaman, A., 1984. "Avoiding model selection by the use of shrinkage techniques," Journal of Econometrics, Elsevier, vol. 25(1-2), pages 73-85.
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    Cited by:

    1. Mezgebo, Taddese, 2009. "A multivariate approach for identification of optimal locations with in Ethiopia’s wheat market to tackle soaring inflation on food price," MPRA Paper 18663, University Library of Munich, Germany.
    2. Erdenebat Bataa & Dong H. Kim & Denise R. Osborn, 2007. "Expectations Hypothesis Tests in the Presence of Model Uncertainty," Discussion Paper Series 0703, Institute of Economic Research, Korea University.
    3. Panait, Iulian & Slavescu, Ecaterina Oana, 2012. "Skewness in stock returns: evidence from the Bucharest stock exchange during 2000 – 2011," MPRA Paper 38751, University Library of Munich, Germany.
    4. Carlos MACHADO-SANTOS & Ana Cristina FERNANDES, 2005. "Skewness in Financial Returns: Evidence from the Portuguese Stock Market (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 55(9-10), pages 460-470, September.
    5. E Bataa & D R Osborn & D H Kim, 2006. "A Further Examination of the Expectations Hypothesis for the Term Structure," Centre for Growth and Business Cycle Research Discussion Paper Series 72, Economics, The Univeristy of Manchester.
    6. Arie Preminger & Shinichi Sakata, 2007. "A model selection method for S-estimation," Econometrics Journal, Royal Economic Society, vol. 10(2), pages 294-319, July.
    7. Laws, Jason & Thompson, John, 2004. "The efficiency of financial futures markets: Tests of prediction accuracy," European Journal of Operational Research, Elsevier, vol. 155(2), pages 284-298, June.
    8. Loizos, Konstantinos & Thompson, John, 2001. "The Demand for Money in Greece 1962 to 1998," MPRA Paper 54035, University Library of Munich, Germany.
    9. Judith A. Giles & Sadaf Mirza, 1999. "Some Pretesting Issues on Testing for Granger Noncausality," Econometrics Working Papers 9914, Department of Economics, University of Victoria.
    10. repec:ebl:ecbull:v:3:y:2005:i:19:p:1-5 is not listed on IDEAS

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