Model Selection in the Presence of Incidental Parameters
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- Lee, Yoonseok & Phillips, Peter C.B., 2015. "Model selection in the presence of incidental parameters," Journal of Econometrics, Elsevier, vol. 188(2), pages 474-489.
- Yoonseok Lee & Peter C.B. Phillips, 2013. "Model Selection in the Presence of Incidental Parameters," Center for Policy Research Working Papers 159, Center for Policy Research, Maxwell School, Syracuse University.
References listed on IDEAS
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- Greenaway-McGrevy, Ryan & Hood, Kyle K., 2016.
"Worker migration or job creation? Persistent shocks and regional recoveries,"
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More about this item
Keywords(Adaptive) model selection; incidental parameters; profile likelihood; Kullback-Leibler information; Bayes factor; integrated likelihood; robust prior; model complexity; fixed effects; lag order;
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-10-11 (All new papers)
- NEP-ECM-2013-10-11 (Econometrics)
- NEP-ETS-2013-10-11 (Econometric Time Series)
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