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Information criteria for selecting possibly misspecified parametric models

  • Sin, Chor-Yiu
  • White, Halbert

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File URL: http://www.sciencedirect.com/science/article/B6VC0-3VWPP00-9/2/20fac3e852869944d7a1d7d5241816bc
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 71 (1996)
Issue (Month): 1-2 ()
Pages: 207-225

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Handle: RePEc:eee:econom:v:71:y:1996:i:1-2:p:207-225
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. Nelson, Daniel B & Cao, Charles Q, 1992. "Inequality Constraints in the Univariate GARCH Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(2), pages 229-35, April.
  2. Nishii, R., 1988. "Maximum likelihood principle and model selection when the true model is unspecified," Journal of Multivariate Analysis, Elsevier, vol. 27(2), pages 392-403, November.
  3. repec:cup:cbooks:9780521252805 is not listed on IDEAS
  4. Kinal, Terrence & Lahiri, Kajal, 1985. "On the distribution function of various model selection criteria with stochastic regressors," Economics Letters, Elsevier, vol. 17(1-2), pages 97-101.
  5. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
  6. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
  7. Akaike, Hirotugu, 1981. "Likelihood of a model and information criteria," Journal of Econometrics, Elsevier, vol. 16(1), pages 3-14, May.
  8. Chow, Gregory C., 1981. "A comparison of the information and posterior probability criteria for model selection," Journal of Econometrics, Elsevier, vol. 16(1), pages 21-33, May.
  9. Vuong, Quang H, 1989. "Likelihood Ratio Tests for Model Selection and Non-nested Hypotheses," Econometrica, Econometric Society, vol. 57(2), pages 307-33, March.
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