Model selection for regression with heteroskedastic and autocorrelated errors

DOI10.1016/J.ECONLET.2012.12.035MaRDI QIDQ2444339zbMATH OpenOpenAlexFDO

Authors Guangyu Mao

Publication date 9 April 2014

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2012.12.035

zbMATH Keywords

information criterionmodel selectionselection consistency

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12)

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Cited in

(7)

• Mallows criterion for heteroskedastic linear regressions with many regressors
• Variable selection for high-dimensional regression models with time series and heteroscedastic errors
• Model selection of M-estimation models using least squares approximation
• New criteria for selection in simultaneous equations model
• Joint Selection of the Model and the Information Set in Heteroskedastic Dynamic Models
• Simultaneous variable selection for heteroscedastic regression models
• On regression model selection for the data with correlated errors

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