IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v27y1996i2p171-175.html
   My bibliography  Save this article

On the asymptotic behavior of Akaike's BIC

Author

Listed:
  • Reschenhofer, Erhard

Abstract

It is shown that in the linear normal regression model asymptotically the expected value of the penalty term implied by the Akaike-BIC can, under certain circumstances, be smaller than that implied by the AIC. Consequences for consistency are discussed.

Suggested Citation

  • Reschenhofer, Erhard, 1996. "On the asymptotic behavior of Akaike's BIC," Statistics & Probability Letters, Elsevier, vol. 27(2), pages 171-175, April.
    • Handle: RePEc:eee:stapro:v:27:y:1996:i:2:p:171-175
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0167-7152(95)00060-7
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. 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 331-354, June.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. David Genesove & Christopher Mayer, 2001. "Loss Aversion and Seller Behavior: Evidence from the Housing Market," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 116(4), pages 1233-1260.
    2. Castle Jennifer L. & Doornik Jurgen A & Hendry David F., 2011. "Evaluating Automatic Model Selection," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-33, February.
    3. Jakusch, Sven Thorsten, 2017. "On the applicability of maximum likelihood methods: From experimental to financial data," SAFE Working Paper Series 148, Leibniz Institute for Financial Research SAFE, revised 2017.
    4. Deng, Yongheng & Ross, Stephen L. & Wachter, Susan M., 2003. "Racial differences in homeownership: the effect of residential location," Regional Science and Urban Economics, Elsevier, vol. 33(5), pages 517-556, September.
    5. Sýdýka Baþçý & Asad Zaman & Arzdar Kiracý, 2010. "Variance Estimates and Model Selection," International Econometric Review (IER), Econometric Research Association, vol. 2(2), pages 57-72, September.
    6. Matilde Giaccherini & David H. Herberich & David Jimenez-Gomez & John A. List & Giovanni Ponti & Michael K. Price, 2019. "The Behavioralist Goes Door-To-Door: Understanding Household Technological Diffusion Using a Theory-Driven Natural Field Experiment," NBER Working Papers 26173, National Bureau of Economic Research, Inc.
    7. Ligeon, Carel & Jolly, Curtis M. & Jackson, John D., 1996. "Evaluation Of The Possible Threat Of Nafta On U.S. Catfish Industry Using A Traditional Import Demand Function," Journal of Food Distribution Research, Food Distribution Research Society, vol. 27(2), pages 1-9, July.
    8. Thomas M Fullerton Jr, 2004. "A Theoretical Model of Developing Country Inflationary Dynamics," Macroeconomics 0407031, University Library of Munich, Germany.
    9. Adrian C. Darnell, 1994. "A Dictionary Of Econometrics," Books, Edward Elgar Publishing, number 118.
    10. David W. Rasmussen & Thomas W. Zuehlke, 1988. "The Evaluation of Residential Living Space," The Review of Regional Studies, Southern Regional Science Association, vol. 18(2), pages 47-53, Spring.
    11. Xie, Tian, 2015. "Prediction model averaging estimator," Economics Letters, Elsevier, vol. 131(C), pages 5-8.
    12. repec:zbw:bofrdp:1993_001 is not listed on IDEAS
    13. David Buschena & David Zilberman, 2008. "Generalized expected utility, heteroscedastic error, and path dependence in risky choice," Journal of Risk and Uncertainty, Springer, vol. 36(2), pages 201-201, April.
    14. Larry W. Taylor, 2009. "Penalized‐R2 Criteria For Model Selection," Manchester School, University of Manchester, vol. 77(6), pages 699-717, December.
    15. Greenberg, Edward & Parks, Robert P, 1997. "A Predictive Approach to Model Selection and Multicollinearity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(1), pages 67-75, Jan.-Feb..
    16. Lehrer, Steven & Xie, Tian & Zhang, Xinyu, 2021. "Social media sentiment, model uncertainty, and volatility forecasting," Economic Modelling, Elsevier, vol. 102(C).
    17. Steven F. Lehrer & Tian Xie, 2022. "The Bigger Picture: Combining Econometrics with Analytics Improves Forecasts of Movie Success," Management Science, INFORMS, vol. 68(1), pages 189-210, January.
    18. Labson, B Stephen & Gooday, Peter, 1994. "Factors influencing the diffusion of electric arc furnace steelmaking technology," MPRA Paper 70666, University Library of Munich, Germany.
    19. Matilde Giaccherini & David Herberich & David Jimenez-Gomez & John List & Giovanni Ponti & Michael Price, 2020. "Are Economics and Psychology Complements in Household Technology Diffusion? Evidence from a Natural Field Experiment," Natural Field Experiments 00713, The Field Experiments Website.
    20. Chung Baek, 2016. "Stock prices, dividends, earnings, and investor sentiment," Review of Quantitative Finance and Accounting, Springer, vol. 47(4), pages 1043-1061, November.
    21. Charles G. Renfro, 2009. "The Practice of Econometric Theory," Advanced Studies in Theoretical and Applied Econometrics, Springer, number 978-3-540-75571-5, December.

    More about this item

    Keywords

    AIC Model selection Penalty term;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:27:y:1996:i:2:p:171-175. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.