Model selection using AIC in the presence of one-sided information

Journal of Statistical Planning and Inference

Volumn 115, Issue 2, 2003, Pages 397-411

  Hughes, Anthony W ^a   King, Maxwell L ^b  

^a UNIVERSITY OF ADELAIDE   (Australia)

^b MONASH UNIVERSITY   (Australia)

Author keywords

Akaike's information criterion; Inequality constrained inference; Kullback Leibler information; One sided AIC

Indexed keywords

EID: 0038239678     PISSN: 03783758     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-3758(02)00159-3     Document Type: Article

References (18)

1. Akaike H. Information theory and an extension of the maximum likelihood principle Petrov B.N. Csaki F. (Eds.) Second International Symposium on Information Theory 1973 267-281 Akademiai Kiado Budapest
2. Akaike H. A new look at statistical model identification IEEE Trans. Control 41 1974 716-723
3. Anraku K. An information criterion for parameters under a simple order restriction Biometrika 86 1999 141-152
4. Baltagi B.H. Chang Y.J. Li Q. Monte Carlo results on several new and existing tests for the error component model J. Econom. 54 1992 95-120
5. Bohrer R. Chow W. Weights for one-sided multivariate inference Appl. Statist. 27 1978 100-104
6. Gouriéroux, C., Monfort, A., 1995. Statistics and Econometrics Models, Vol. 2 (translated by Q. Vuong).Cambridge University Press, Cambridge.
7. Gupta S.S. Probability integrals of multivariate normal and multivariate t Ann. Math. Statist. 34 1963 792-838
8. King M.L. Evans M.A. A joint test for serial correlation and heteroscedasticity Econom. Lett. 16 1984 297-302
9. Kodde D.A. Palm F.C. Wald criteria for jointly testing equality and inequality restrictions Econometrica 54 1986 1243-1248
10. Kudô A. A multivariate analogue of the one-sided test Biometrika 50 1963 403-418
11. Kwek, K.T., King, M.L., 1997. Model selection and optimal penalty function estimation for conditional heteroskedastic processes. In: Bardsley, P., Martin, V.L. (Eds.). Proceedings of the Econometric Society Australasian Meeting, Melbourne University, Melbourne, Vol. 2, pp. 143-176.
12. Kwek, K.T., King, M.L., 1998. Information criteria in conditional heteroskedastic models: a Bayesian prior approach to penalty function building. Paper presented at the 1998 Australasian Meeting of the Econometric Society, Canberr.
13. Pötscher B. Effects of model selection on inference Econom. Theory 7 1991 163-185
14. Schwarz G. Estimating the dimension of model Ann. Statist. 6 1978 461-464
15. Shapiro A. Towards a unified theory of inequality constrained testing in multivariate analysis Int. Statist. Rev. 56 1988 49-62
16. Stone M. Comments on model selection criteria of Akaike and Schwarz J. Roy. Statist. Soc. B 41 1979 276-278
17. Wolak F.A. An exact test for multiple inequality constraints in the linear regression model J. Amer. Statist. Assoc. 82 1987 782-793
18. Wu P.X. King M.L. One-sided hypothesis testing: a survey Pakistan J. Statist. 10 1994 261-300