Cross-validation for selecting a model selection procedure

Journal of Econometrics

Volumn 187, Issue 1, 2015, Pages 95-112

  Zhang, Yongli ^a   Yang, Yuhong ^b  

^a UNIVERSITY OF OREGON   (United States)

^b UNIVERSITY OF MINNESOTA   (United States)

Author keywords

Adaptive procedure selection; Cross validation; Cross validation paradox; Data splitting ratio; Information criterion; LASSO; MCP; SCAD

Indexed keywords

ADAPTIVE PROCEDURE; CROSS VALIDATION; DATA SPLITTING; INFORMATION CRITERION; LASSO; MCP; SCAD;

ECONOMICS;

EID: 84929627804     PISSN: 03044076     EISSN: 18726895     Source Type: Journal    
DOI: 10.1016/j.jeconom.2015.02.006     Document Type: Article

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