IDEAS home Printed from https://ideas.repec.org/a/erh/journl/v2y2010i2p57-72.html

Variance Estimates and Model Selection

Author

Listed:
  • Sidika Basci
  • Asad Zaman
  • Arzdar Kiraci

Abstract

No abstract is available for this item.

Suggested Citation

  • Sidika Basci & Asad Zaman & Arzdar Kiraci, 2010. "Variance Estimates and Model Selection," International Econometric Review (IER), Econometric Research Association, vol. 2(2), pages 57-72, September.
    • Handle: RePEc:erh:journl:v:2:y:2010:i:2:p:57-72
    as

    Download full text from publisher

    File URL: https://dergipark.org.tr/tr/pub/ier/issue/26406/278059
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Helmut Lütkepohl, 1985. "Comparison Of Criteria For Estimating The Order Of A Vector Autoregressive Process," Journal of Time Series Analysis, Wiley Blackwell, vol. 6(1), pages 35-52, January.
    2. Geweke, John & Meese, Richard, 1981. "Estimating regression models of finite but unknown order," Journal of Econometrics, Elsevier, vol. 16(1), pages 162-162, May.
    3. Diebold, Francis X., 1989. "Forecast combination and encompassing: Reconciling two divergent literatures," International Journal of Forecasting, Elsevier, vol. 5(4), pages 589-592.
    4. Zaman, A., 1984. "Avoiding model selection by the use of shrinkage techniques," Journal of Econometrics, Elsevier, vol. 25(1-2), pages 73-85.
    5. Magee, Lonnie & Veall, Michael R, 1991. "Selecting Regressors for Prediction Using PRESS and White t Statistics," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(1), pages 91-96, January.
    6. McQuarrie, Allan & Shumway, Robert & Tsai, Chih-Ling, 1997. "The model selection criterion AICu," Statistics & Probability Letters, Elsevier, vol. 34(3), pages 285-292, June.
    7. 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)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. repec:erh:journl:v:13:y:2021:i:1:p:4-23 is not listed on IDEAS
    2. repec:erh:journl:v:5:y:2013:i:2:p:53-69 is not listed 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. Carlos Medel, 2012. "¿Akaike o Schwarz? ¿Cuál elegir para Predecir el PIB Chileno?," Working Papers Central Bank of Chile 658, Central Bank of Chile.
    2. Daniel Fernández, 2011. "Suficiencia del capital y previsiones de la banca uruguaya por su exposición al sector industrial," Monetaria, CEMLA, vol. 0(4), pages 517-589, octubre-d.
    3. Larry W. Taylor, 2009. "Penalized‐R2 Criteria For Model Selection," Manchester School, University of Manchester, vol. 77(6), pages 699-717, December.
    4. Kamas, Linda, 1995. "Monetary policy and inflation under the crawling peg: Some evidence from VARs for Colombia," Journal of Development Economics, Elsevier, vol. 46(1), pages 145-161, February.
    5. John W. Galbraith & Victoria Zinde-Walsh, 2004. "Évaluation de critères d’information pour les modèles de séries chronologiques," L'Actualité Economique, Société Canadienne de Science Economique, vol. 80(2), pages 207-227.
    6. Tamara Burdisso & Eduardo Ariel Corso, 2011. "Incertidumbre y dolarización de cartera: el caso argentino en el último medio siglo," Monetaria, CEMLA, vol. 0(4), pages 461-515, octubre-d.
    7. Kim, Jae-Young, 2012. "Model selection in the presence of nonstationarity," Journal of Econometrics, Elsevier, vol. 169(2), pages 247-257.
    8. Carlos A. Medel Vera, 2011. "¿Akaike o Schwarz? ¿Cuál utilizar para predecir el PIB chileno?," Monetaria, CEMLA, vol. 0(4), pages 591-615, octubre-d.
    9. K.R. Sawyer, 1982. "Parsimony in Model Selection," Economics Discussion / Working Papers 82-10, The University of Western Australia, Department of Economics.
    10. Baci, Sidika & Zaman, Asad, 1998. "Effects of skewness and kurtosis on model selection criteria," Economics Letters, Elsevier, vol. 59(1), pages 17-22, April.
    11. Carlos A. Medel & Sergio C. Salgado, 2013. "Does the Bic Estimate and Forecast Better than the Aic?," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 28(1), pages 47-64, April.
    12. Javier Pereda, 2011. "Estimación de la tasa natural de interés para Perú: un enfoque financiero," Monetaria, CEMLA, vol. 0(4), pages 429-459, octubre-d.
    13. Trancoso, Tiago, 2014. "Emerging markets in the global economic network: Real(ly) decoupling?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 395(C), pages 499-510.
    14. Dimitriadis, Timo & Schnaitmann, Julie, 2021. "Forecast encompassing tests for the expected shortfall," International Journal of Forecasting, Elsevier, vol. 37(2), pages 604-621.
    15. 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.
    16. McCracken,M.W. & West,K.D., 2001. "Inference about predictive ability," Working papers 14, Wisconsin Madison - Social Systems.
    17. Karl Derouen & Uk Heo, 2004. "Reward, punishment or inducement? US economic and military aid, 1946-1996," Defence and Peace Economics, Taylor & Francis Journals, vol. 15(5), pages 453-470.
    18. Mahdi Barakchian, S., 2015. "Transmission of US monetary policy into the Canadian economy: A structural cointegration analysis," Economic Modelling, Elsevier, vol. 46(C), pages 11-26.
    19. Ang, Andrew & Bekaert, Geert & Wei, Min, 2007. "Do macro variables, asset markets, or surveys forecast inflation better?," Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1163-1212, May.
    20. repec:lan:wpaper:470 is not listed on IDEAS
    21. 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.

    More about this item

    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:erh:journl:v:2:y:2010:i:2:p:57-72. 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: Admin (email available below). General contact details of provider: https://edirc.repec.org/data/eratrtr.html .

    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.