IMPROVED ESTIMATION OF THE EXPECTED KULLBACK–LEIBLER DISCREPANCY IN CASE OF MISSPECIFICATION

DOI10.1017/S0266466699153052MaRDI QIDQ4512693zbMATH OpenFDO

Authors Erhard Reschenhofer

Publication date 9 July 2001

Published in Econometric Theory (Search for Journal in Brave)

zbMATH Keywords

model selectionbiasnormal distributionAkaike information criterionSawa's criterion

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12)

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Cited in

(4)

• Identifying the determinants of foreign direct investment: a data-specific model selection approach
• Inadmissibility of the corrected Akaike information criterion
• Bayesian analysis of hypothesis testing problems for general population: A Kullback-Leibler alternative
• Second-order bias-corrected AIC in multivariate normal linear models under non-normality

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