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

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

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Cited in

(31)

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

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