Estimating Regression Models of Finite but Unknown Order

DOI10.2307/2526135zbMath0457.62050OpenAlexW4252336336MaRDI QIDQ3906933

Richard Meese, John F. Geweke

Publication date: 1981

Published in: International Economic Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2526135

zbMATH Keywords

model selectionmaximum likelihood estimatesunknown orderestimation criterion functionestimation of order

Mathematics Subject Classification ID

Linear regression; mixed models (62J05)

Related Items (26)

Variable selection in generalized random coefficient autoregressive models ⋮ Model selection for forecasting ⋮ Structural change and unit roots ⋮ PREDICTION/ESTIMATION WITH SIMPLE LINEAR MODELS: IS IT REALLY THAT SIMPLE? ⋮ Scale effects in endogenous growth theory: an error of aggregation not specification ⋮ ESTIMATION OF AUTOREGRESSIVE MOVING-AVERAGE ORDER GIVEN AN INFINITE NUMBER OF MODELS AND APPROXIMATION OF SPECTRAL DENSITIES ⋮ An incidental parameters free inference approach for panels with common shocks ⋮ Model selection by multiple test procedures ⋮ Non-linear regression with discrete explanatory variables, with an application to the earnings function ⋮ Estimating cross-section common stochastic trends in nonstationary panel data ⋮ Consistency of spike and slab regression ⋮ A small-sample correction for the Schwarz SIC model selection criterion. ⋮ Model selection in the presence of nonstationarity ⋮ Consistent variable selection in large panels when factors are observable ⋮ Consistent variable selection in high dimensional regression via multiple testing ⋮ An alternative quasi likelihood approach, Bayesian analysis and data-based inference for model specification ⋮ The conditional autoregressive Wishart model for multivariate stock market volatility ⋮ Model selection and prediction: Normal regression ⋮ AN IN-DEPTH LOOK AT HIGHEST POSTERIOR MODEL SELECTION ⋮ Dynamic principal component CAW models for high-dimensional realized covariance matrices ⋮ On the underfitting and overfitting sets of models chosen by order selection criteria. ⋮ Manufacturing investment-performance causality in the UK clothing industry ⋮ Consistent order selection with strongly dependent data and its application to efficient estimation. ⋮ Bootstrap order selection for autoregressive models ⋮ Special issue: Long memory and nonlinear time series. Selected papers of a conference, Cardiff, UK, July 9--11, 2000 ⋮ Asymptotic optimality of generalized \(C_ L\), cross-validation, and generalized cross-validation in regression with heteroskedastic errors

This page was built for publication: Estimating Regression Models of Finite but Unknown Order