Resampling-based information criteria for best-subset regression
Author
Abstract
Suggested Citation
DOI: 10.1007/s10463-012-0353-1
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Bradley Efron, 2004. "The Estimation of Prediction Error: Covariance Penalties and Cross-Validation," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 619-632, January.
- Reiss Philip T. & Huang Lei & Mennes Maarten, 2010. "Fast Function-on-Scalar Regression with Penalized Basis Expansions," The International Journal of Biostatistics, De Gruyter, vol. 6(1), pages 1-30, August.
- Robert Tibshirani & Keith Knight, 1999. "The Covariance Inflation Criterion for Adaptive Model Selection," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 61(3), pages 529-546.
- Jan R. Magnus, 1986. "The Exact Moments of a Ratio of Quadratic Forms in Normal Variables," Annals of Economics and Statistics, GENES, issue 4, pages 95-109.
- repec:adr:anecst:y:1986:i:4:p:05 is not listed on IDEAS
- Jan R. Magnus, 1986.
"The Exact Moments of a Ratio of Quadratic Forms in Normal Variables,"
Annals of Economics and Statistics, GENES, issue 4, pages 95-109.
- Magnus, J.R., 1986. "The exact moments of a ratio of quadratic forms in normal variables," Other publications TiSEM c6725407-ac3c-44fd-b6d1-5, Tilburg University, School of Economics and Management.
- Shen X. & Ye J., 2002. "Adaptive Model Selection," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 210-221, March.
- Makio Ishiguro & Yosiyuki Sakamoto & Genshiro Kitagawa, 1997. "Bootstrapping Log Likelihood and EIC, an Extension of AIC," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 49(3), pages 411-434, September.
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.- Zhang, Bo & Shen, Xiaotong & Mumford, Sunni L., 2012. "Generalized degrees of freedom and adaptive model selection in linear mixed-effects models," Computational Statistics & Data Analysis, Elsevier, vol. 56(3), pages 574-586.
- F. Javier Mencía & Enrique Sentana, 2004.
"Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations,"
Working Papers
wp2004_0411, CEMFI.
- Sentana, Enrique & MencÃa, Javier, 2005. "Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations," CEPR Discussion Papers 5177, C.E.P.R. Discussion Papers.
- Mencia, Javier F. & Sentana, Enrique, 2004. "Estimation and testing of dynamic models with generalised hyperbolic innovations," LSE Research Online Documents on Economics 24742, London School of Economics and Political Science, LSE Library.
- Enrique Sentana, 2004. "Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations," FMG Discussion Papers dp502, Financial Markets Group.
- Magnus, J.R. & Pesaran, B., 1990.
"Forecasting, misspecification and unit roots : The case of Ar(1) versus ARMA(1,1),"
Discussion Paper
1990-2, Tilburg University, Center for Economic Research.
- Magnus, J.R. & Pesaran, B., 1990. "Forecasting, misspecification and unit roots : The case of Ar(1) versus ARMA(1,1)," Other publications TiSEM b0a7c823-f218-49d9-9264-e, Tilburg University, School of Economics and Management.
- Magnus, J.R. & Pesaran, B., 1990. "Forecasting, Misspecification And Unit Roots: The Case Of Ar(1) Versus Arma (1,1)," Papers 9002, Tilburg - Center for Economic Research.
- Long Qu & Tobias Guennel & Scott L. Marshall, 2013. "Linear Score Tests for Variance Components in Linear Mixed Models and Applications to Genetic Association Studies," Biometrics, The International Biometric Society, vol. 69(4), pages 883-892, December.
- Demos Antonis & Kyriakopoulou Dimitra, 2019.
"Finite-Sample Theory and Bias Correction of Maximum Likelihood Estimators in the EGARCH Model,"
Journal of Time Series Econometrics, De Gruyter, vol. 11(1), pages 1-20, January.
- DEMOS Antonis, & KYRIAKOPOULOU Dimitra,, 2018. "Finite sample theory and bias correction of maximum likelihood estimators in the EGARCH model," LIDAM Discussion Papers CORE 2018007, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Antonis Demos & Dimitra Kyriakopoulou, 2018. "Finite Sample Theory and Bias Correction of Maximum Likelihood Estimators in the EGARCH Model," DEOS Working Papers 1802, Athens University of Economics and Business.
- Antonis Demos & Dimitra Kyriakopoulou, 2018. "Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model," LIDAM Reprints CORE 2983, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Kan, Raymond, 2008. "From moments of sum to moments of product," Journal of Multivariate Analysis, Elsevier, vol. 99(3), pages 542-554, March.
- Magnus, J.R. & Pesaran, B., 1990.
"Evaluation Of Moment Of Quadratic Forms In Normal Variables,"
Papers
9021, Tilburg - Center for Economic Research.
- Magnus, J.R. & Pesaran, B., 1990. "Evaluation of moments of quadratic forms in normal variables," Other publications TiSEM b16a6ec3-ce7b-406e-8c76-9, Tilburg University, School of Economics and Management.
- Magnus, J.R. & Pesaran, B., 1990. "Evaluation of moments of quadratic forms in normal variables," Discussion Paper 1990-21, Tilburg University, Center for Economic Research.
- Hillier, Grant & Kan, Raymond & Wang, Xiaolu, 2009.
"Computationally Efficient Recursions For Top-Order Invariant Polynomials With Applications,"
Econometric Theory, Cambridge University Press, vol. 25(1), pages 211-242, February.
- Grant Hillier & Raymond Kan & Xiaolu Wang, 2008. "Computationally efficient recursions for top-order invariant polynomials with applications," CeMMAP working papers CWP07/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Ahamada Ibrahim & Boutahar Mohamed, 2012.
"Power of the KPSS test against shift in variance: a further investigation,"
Economics Bulletin, AccessEcon, vol. 32(1), pages 854-865.
- Ibrahim Ahamada & Mohamed Boutahar, 2012. "Power of the KPSS test against shift in variance: a further investigation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00678525, HAL.
- Ibrahim Ahamada & Mohamed Boutahar, 2010. "The power of some standard tests of stationarity against changes in the unconditional variance," Post-Print halshs-00476024, HAL.
- Marcus J. Chambers & Maria Kyriacou, 2018.
"Jackknife Bias Reduction in the Presence of a Near-Unit Root,"
Econometrics, MDPI, vol. 6(1), pages 1-28, March.
- Chambers, MJ & Kyriacou, M, 2016. "Jackknife Bias Reduction in the Presence of a Near-Unit Root," Economics Discussion Papers 17623, University of Essex, Department of Economics.
- Yongli Zhang & Xiaotong Shen, 2015. "Adaptive Modeling Procedure Selection by Data Perturbation," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(4), pages 541-551, October.
- Vasnev, Andrey L., 2010. "Sensitivity of GLS estimators in random effects models," Journal of Multivariate Analysis, Elsevier, vol. 101(5), pages 1252-1262, May.
- Stelios Arvanitis & Antonis Demos, 2015.
"A class of indirect inference estimators: higher‐order asymptotics and approximate bias correction,"
Econometrics Journal, Royal Economic Society, vol. 18(2), pages 200-241, June.
- Stelios Arvanitis & Antonis Demos, 2014. "A Class of Indirect Inference Estimators: Higher Order Asymptotics and Approximate Bias Correction (Revised)," DEOS Working Papers 1411, Athens University of Economics and Business, revised 23 Sep 2014.
- Chen, Ye & Yu, Jun, 2015. "Optimal jackknife for unit root models," Statistics & Probability Letters, Elsevier, vol. 99(C), pages 135-142.
- Poskitt, D.S. & Grose, Simone D. & Martin, Gael M., 2015.
"Higher-order improvements of the sieve bootstrap for fractionally integrated processes,"
Journal of Econometrics, Elsevier, vol. 188(1), pages 94-110.
- D.S. Poskitt & Simone D. Grose & Gael M. Martin, 2012. "Higher Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes," Monash Econometrics and Business Statistics Working Papers 9/12, Monash University, Department of Econometrics and Business Statistics.
- D.S. Poskitt & Simone D. Grose & Gael M. Martin, 2013. "Higher-Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes," Monash Econometrics and Business Statistics Working Papers 25/13, Monash University, Department of Econometrics and Business Statistics.
- Giessing, Alexander & He, Xuming, 2019. "On the predictive risk in misspecified quantile regression," Journal of Econometrics, Elsevier, vol. 213(1), pages 235-260.
- Magnus, J.R. & Pesaran, B., 1990.
"Evaluation of moments of ratios of quadratic forms in normal variables and related statistics,"
Other publications TiSEM
9b269af3-185b-4ada-93e2-5, Tilburg University, School of Economics and Management.
- Magnus, J.R. & Pesaran, B., 1990. "Evaluation of moments of ratios of quadratic forms in normal variables and related statistics," Discussion Paper 1990-19, Tilburg University, Center for Economic Research.
- Magnus, J.R. & Pesaran, B., 1990. "Evaluation Of Moments Of Ratios Of Quadratic Forms In Normal Variables And Related Statistics," Papers 9019, Tilburg - Center for Economic Research.
- Dumitrescu, Elena-Ivona & Hurlin, Christophe, 2012.
"Testing for Granger non-causality in heterogeneous panels,"
Economic Modelling, Elsevier, vol. 29(4), pages 1450-1460.
- Christophe Hurlin & Elena Dumitrescu, 2012. "Testing for Granger Non-causality in Heterogeneous Panels," Working Papers halshs-00224434, HAL.
- Elena Ivona Dumitrescu & Christophe Hurlin, 2012. "Testing for Granger Non-causality in Heterogeneous Panels," Post-Print hal-01385899, HAL.
- Javier Mencía & Enrique Sentana, 2012.
"Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations,"
The Review of Economics and Statistics, MIT Press, vol. 94(1), pages 133-152, February.
- Javier Mencía & Enrique Sentana, 2008. "Distributional Tests in Multivariate Dynamic Models with Normal and Student t Innovations," Working Papers wp2008_0804, CEMFI.
- Javier Mencía & Enrique Sentana, 2009. "Distributional tests in multivariate dynamic models with Normal and Student t innovations," Working Papers 0929, Banco de España.
More about this item
Keywords
Adaptive model selection; Covariance inflation criterion; Cross-validation; Extended information criterion; Functional connectivity; Overoptimism;All these keywords.
Statistics
Access and download statisticsCorrections
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:spr:aistmt:v:64:y:2012:i:6:p:1161-1186. 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: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.