Model Selection

DOI10.1007/978-3-540-71297-8_39zbMATH Open1180.62011OpenAlexW4211055687WikidataQ30039787 ScholiaQ30039787MaRDI QIDQ3646986FDOQ3646986

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

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Mathematics Subject Classification ID

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

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• Optimal multistep VAR forecast averaging
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• CHALLENGES FOR ECONOMETRIC MODEL SELECTION
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• Multiset Model Selection
• Model selection using PRESS statistic
• A model selection approach in statistical modeling
• 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
• Methods and Criteria for Model Selection

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