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Information criteria for selecting possibly misspecified parametric models

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  • Sin, Chor-Yiu
  • White, Halbert

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  • Sin, Chor-Yiu & White, Halbert, 1996. "Information criteria for selecting possibly misspecified parametric models," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 207-225.
  • Handle: RePEc:eee:econom:v:71:y:1996:i:1-2:p:207-225
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    References listed on IDEAS

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    1. 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.
    2. 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 229-235, April.
    3. Jostein Paulsen, 1984. "Order Determination Of Multivariate Autoregressive Time Series With Unit Roots," Journal of Time Series Analysis, Wiley Blackwell, vol. 5(2), pages 115-127, March.
    4. White,Halbert, 1996. "Estimation, Inference and Specification Analysis," Cambridge Books, Cambridge University Press, number 9780521574464.
    5. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    6. Vuong, Quang H, 1989. "Likelihood Ratio Tests for Model Selection and Non-nested Hypotheses," Econometrica, Econometric Society, vol. 57(2), pages 307-333, March.
    7. Andrews, Donald W K, 1987. "Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers [On Unification of the Asymptotic Theory of Nonlinear Econometric Models]," Econometrica, Econometric Society, vol. 55(6), pages 1465-1471, November.
    8. Akaike, Hirotugu, 1981. "Likelihood of a model and information criteria," Journal of Econometrics, Elsevier, vol. 16(1), pages 3-14, May.
    9. 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.
    10. 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.
    11. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
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