کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5059926 1371793 2013 5 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Model selection for regression with heteroskedastic and autocorrelated errors
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Model selection for regression with heteroskedastic and autocorrelated errors
چکیده انگلیسی

This paper develops new model selection criteria for regression with heteroskedastic and autocorrelated errors. We prove the selection consistency of the introduced criteria and evaluate their performance by simulation. The results suggest that the new criteria may bring significant improvement relative to the traditional criteria. Besides, we discuss how the idea behind the new criteria can apply to model selection for a general class of M-estimation models.

► We develop new model selection criteria for regression with heteroskedastic and autocorrelated errors. ► We prove the selection consistency of the new criteria and evaluate their performance by simulation. ► The simulation results suggest that the new criteria may bring significant improvement relative to the traditional criteria. ► We discuss how to extend the idea behind the new criteria to model selection for a general class of M-estimation models.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economics Letters - Volume 118, Issue 3, March 2013, Pages 497-501
نویسندگان
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