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