Effects of skewness and kurtosis on model selection criteria

DOI10.1016/S0165-1765(98)00036-6zbMath0906.90031OpenAlexW2123933454MaRDI QIDQ1128782

Sıdıka Başçı, Asad Zaman

Publication date: 13 August 1998

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(98)00036-6

zbMATH Keywords

robustnessmodel selection criteriaAR lag order determination

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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The Mean Squared Error of the Instrumental Variables Estimator When the Disturbance Has an Elliptical Distribution ⋮ The efficiency of financial futures markets: tests of prediction accuracy.

Cites Work

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• Modeling by shortest data description
• Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
• Estimating the dimension of a model
• Regression and time series model selection in small samples
• Selection of the order of an autoregressive model by Akaike's information criterion
• The Relationship between Variable Selection and Data Agumentation and a Method for Prediction
• A new look at the statistical model identification

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