Using model selection algorithms to obtain reliable coefficient estimates

Journal of Economic Surveys

Volumn 27, Issue 2, 2013, Pages 269-296

  Castle, Jennifer L ^a   Qin, Xiaochuan ^b   Robert Reed, W ^c  

^a UNIVERSITY OF OXFORD   (United Kingdom)

^b UNIVERSITY OF COLORADO   (United States)

^c UNIVERSITY OF CANTERBURY   (New Zealand)

Author keywords

AIC, AICc; Autometrics; Bayesian model averaging; General to specific modelling; Information criteria; Model selection algorithms; Monte Carlo analysis; Portfolio models; SIC; SICc

Indexed keywords

ALGORITHM; BAYESIAN ANALYSIS; MODEL VALIDATION; MONTE CARLO ANALYSIS; NUMERICAL MODEL; PERFORMANCE ASSESSMENT; TRADE-OFF;

EID: 84874938799     PISSN: 09500804     EISSN: 14676419     Source Type: Journal    
DOI: 10.1111/j.1467-6419.2011.00704.x     Document Type: Article

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