Model Selection

DOI10.1007/978-3-540-71297-8_39MaRDI QIDQ3646986zbMATH OpenOpenAlexWikidataFDO

Authors Hannes Leeb, Benedikt M. Pötscher

Publication date 27 November 2009

Published in Handbook of Financial Time Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-540-71297-8_39

Mathematics Subject Classification ID

Foundations and philosophical topics in statistics (62A01) Applications of statistics to economics (62P20)

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• On model selection in the computer age
• Simplicity and model selection
• An introduction to model selection
• Model selection based on minimum description length
• Key concepts in model selection: Performance and generalizability
• Special issue on model selection
• Strong model dependence in statistical analysis: goodness of fit is not enough for model choice
• Sir Clive W. J. Granger model selection
• scientific article; zbMATH DE number 3874459 (Why is no real title available?)
• Using invalid instruments on purpose: focused moment selection and averaging for GMM
• Multiset Model Selection
• Model Selection and Model Averaging
• A model selection approach in statistical modeling
• GUEST EDITORS' EDITORIAL: RECENT DEVELOPMENTS IN MODEL SELECTION AND RELATED AREAS
• A note on the relationship between influential observations and model selection
• scientific article; zbMATH DE number 3903730 (Why is no real title available?)
• scientific article; zbMATH DE number 720686 (Why is no real title available?)
• Model Selection: An Integral Part of Inference
• The Variable Selection Problem
• Evaluating automatic model selection
• Consistent model selection procedure for general integer-valued time series
• SELECTING AMONGST LARGE CLASSES OF MODELS
• Some recent results in model selection
• Methods and Criteria for Model Selection
• CHALLENGES FOR ECONOMETRIC MODEL SELECTION
• Optimal multistep VAR forecast averaging
• Feasibility as a mechanism for model identification and validation
• Order selection with confidence for finite mixture models
• Model selection using PRESS statistic
• Exogeneity tests and weak identification in IV regressions: asymptotic theory and point estimation
• PanIC: consistent information criteria for general model selection problems
• Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
• A simple test for regression specification with non-nested alternatives
• The conditional autoregressive Wishart model for multivariate stock market volatility
• Statistical model selection criteria

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