Estimating Regression Models of Finite but Unknown Order

DOI10.2307/2526135MaRDI QIDQ3906933zbMATH OpenOpenAlexFDO

Authors Richard Meese, John 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)

Cited in

(26)

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

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