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Volumn 21, Issue 1, 2005, Pages 60-68

Challenges for econometric model selection

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EID: 15744403698     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/S0266466605050048     Document Type: Article
Times cited : (68)

References (14)
  • 1
    • 0242451231 scopus 로고    scopus 로고
    • Consistent model and moment selection criteria for GMM estimation with applications to dynamic panel models
    • Andrews, D.W.K. & B. Lu (2001) Consistent model and moment selection criteria for GMM estimation with applications to dynamic panel models. Journal of Econometrics 101, 123-164.
    • (2001) Journal of Econometrics , vol.101 , pp. 123-164
    • Andrews, D.W.K.1    Lu, B.2
  • 2
    • 0001643055 scopus 로고
    • Consistent autoregressive spectral estimates
    • Berk, K.M. (1974) Consistent autoregressive spectral estimates. Annals of Statistics 2, 489-502.
    • (1974) Annals of Statistics , vol.2 , pp. 489-502
    • Berk, K.M.1
  • 4
    • 15744379443 scopus 로고    scopus 로고
    • A dialogue concerning a new instrument for econometric modeling
    • this issue
    • Granger, C. & D. Hendry (2005) A dialogue concerning a new instrument for econometric modeling. Econometric Theory (this issue).
    • (2005) Econometric Theory
    • Granger, C.1    Hendry, D.2
  • 8
    • 0242636863 scopus 로고    scopus 로고
    • Generalized empirical likelihood-based model selection criteria for moment condition models
    • Hong, H., B. Preston, & M. Shum (2003) Generalized empirical likelihood-based model selection criteria for moment condition models. Econometric Theory 19, 923-943.
    • (2003) Econometric Theory , vol.19 , pp. 923-943
    • Hong, H.1    Preston, B.2    Shum, M.3
  • 9
    • 0036015417 scopus 로고    scopus 로고
    • Efficient instrumental variables estimation for autoregressive models with conditional heteroskedasticity
    • Kuersteiner, G.M. (2002) Efficient instrumental variables estimation for autoregressive models with conditional heteroskedasticity. Econometric Theory 18, 547-583.
    • (2002) Econometric Theory , vol.18 , pp. 547-583
    • Kuersteiner, G.M.1
  • 10
    • 84860107038 scopus 로고    scopus 로고
    • Can one estimate the unconditional distribution of post-model-selection estimators?
    • Department of Statistics, University of Vienna
    • Leeb, H. & B.M. Pötscher (2003a) Can One Estimate the Unconditional Distribution of Post-Model-Selection Estimators? Working paper, Department of Statistics, University of Vienna.
    • (2003) Working Paper
    • Leeb, H.1    Pötscher, B.M.2
  • 11
    • 84860107038 scopus 로고    scopus 로고
    • Can one estimate the conditional distribution of post-model-selection estimators?
    • Department of Statistics, University of Vienna
    • Leeb, H. & B.M. Pötscher (2003b) Can One Estimate the Conditional Distribution of Post-Model-Selection Estimators? Working paper, Department of Statistics, University of Vienna.
    • (2003) Working Paper
    • Leeb, H.1    Pötscher, B.M.2
  • 12
    • 0001030035 scopus 로고
    • Prediction of multivariate time series by autoregressive model fitting
    • Lewis, R. & G. Reinsel (1985) Prediction of multivariate time series by autoregressive model fitting. Journal of Multivariate Analysis 16, 393-411.
    • (1985) Journal of Multivariate Analysis , vol.16 , pp. 393-411
    • Lewis, R.1    Reinsel, G.2
  • 13
    • 0030374073 scopus 로고
    • Econometric model determination
    • Phillips, P.C.B. (1995) Econometric model determination. Econometrica 64, 763-812.
    • (1995) Econometrica , vol.64 , pp. 763-812
    • Phillips, P.C.B.1
  • 14
    • 84971851120 scopus 로고
    • The effect of model selection on inference
    • Pötscher, B.M. (1991) The effect of model selection on inference. Econometric Theory 7, 163-185.
    • (1991) Econometric Theory , vol.7 , pp. 163-185
    • Pötscher, B.M.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.