Akaike-type criteria and the reliability of inference: model selection versus statistical model specification

DOI10.1016/J.JECONOM.2010.01.011zbMATH Open1431.62022OpenAlexW2047311524MaRDI QIDQ736670FDOQ736670

Authors: Aris Spanos 

Publication date: 4 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.01.011

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zbMATH Keywords

model selectionBICAICleast-squareslinear regression modelGICmodel averagingmodel specificationsimplicityAkaike information criterionmis-specification testingMDLstatistical adequacycurve-fittingAR(\(p\))double-use of dataGauss linear modelinfinite regress and circularitymathematical approximation theorypre-test biasreliability of inferencerespecification

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Foundations and philosophical topics in statistics (62A01)

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Cited In (7)

• Revisiting noncentrality-based confidence intervals, error probabilities and estimation-based effect sizes
• Severity and Trustworthy Evidence: Foundational Problems versus Misuses of Frequentist Testing
• Controlling the error probabilities of model selection information criteria using bootstrapping
• The probabilistic reduction approach to specifying multinomial logistic regression models in health outcomes research
• The econometric modelling of social preferences
• Efficiency gains in least squares estimation: a new approach
• Error statistical modeling and inference: where methodology meets ontology

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