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Model selection and prediction: Normal regression

Author

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  • T. Speed
  • Bin Yu

Abstract

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Suggested Citation

  • T. Speed & Bin Yu, 1993. "Model selection and prediction: Normal regression," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 45(1), pages 35-54, March.
  • Handle: RePEc:spr:aistmt:v:45:y:1993:i:1:p:35-54
    DOI: 10.1007/BF00773667
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    File URL: http://hdl.handle.net/10.1007/BF00773667
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    References listed on IDEAS

    as
    1. Geweke, John & Meese, Richard, 1981. "Estimating regression models of finite but unknown order," Journal of Econometrics, Elsevier, vol. 16(1), pages 162-162, May.
    2. Kohn, Robert, 1983. "Consistent Estimation of Minimal Subset Dimension," Econometrica, Econometric Society, vol. 51(2), pages 367-376, March.
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    Citations

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    Cited by:

    1. Ivan Chang, Yuan-Chin & Huang, Yufen & Huang, Yu-Pai, 2010. "Early stopping in L2Boosting," Computational Statistics & Data Analysis, Elsevier, vol. 54(10), pages 2203-2213, October.
    2. Ching-Kang Ing, 2005. "Accumulated Prediction Errors, Information Criteria And Optimal Forecasting For Autoregressive Time Series," Econometrics 0503020, University Library of Munich, Germany.
    3. Schorfheide, Frank, 2005. "VAR forecasting under misspecification," Journal of Econometrics, Elsevier, vol. 128(1), pages 99-136, September.
    4. Zhang, Yongli & Yang, Yuhong, 2015. "Cross-validation for selecting a model selection procedure," Journal of Econometrics, Elsevier, vol. 187(1), pages 95-112.
    5. Ching-Kang Ing & Chiao-Yi Yang, 2014. "Predictor Selection for Positive Autoregressive Processes," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 109(505), pages 243-253, March.
    6. Ng, Serena, 2013. "Variable Selection in Predictive Regressions," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 752-789, Elsevier.
    7. Rudolf Beran, 1996. "Confidence sets centered at C p -estimators," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 48(1), pages 1-15, March.

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