The impact of unsuspected serial correlations on model selection in linear regression

Statistics and Probability Letters

Volumn 27, Issue 2, 1996, Pages 115-126

  Hurvich, Clifford M ^a   Tsai, Chih Ling ^b  

^a NEW YORK UNIVERSITY   (United States)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

AIC; BIC

Indexed keywords

EID: 0030121928     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/0167-7152(95)00052-6     Document Type: Article

References (7)

1. Akaike, H. (1973), Information theory and an extension of the maximum likelihood principle, in: B. N. Petrov and F. Csaki, eds., Proc. 2nd Internat. Symp. on Information Theory (Akademia Kiado, Budapest) pp. 267-281.
2. Anderson, T.W. (1971), The Statistical Analysis of Time Series (Wiley, New York).
3. Draper, N.R. and H. Smith (1981), Applied Regression Analysis (Wiley, New York, 2nd ed.).
4. Johnson, N.L. and S. Kotz (1970), Continuous Univariate Distributions-1, (Wiley, New York).
5. Nishii, R. (1984), Asymptotic properties of criteria for selection of variables in multiple regression, Ann. Statist. 12, 758-765.
6. Schwarz, G. (1978), Estimating the dimension of a model, Ann. Statist. 6, 461-464.
7. Shibata, R. (1981), An optimal selection of regression variables, Biometrika 68, 45-54.