Variance Estimates and Model Selection
The large majority of the criteria for model selection are functions of the usual variance estimate for a regression model. The validity of the usual variance estimate depends on some assumptions, most critically the validity of the model being estimated. This is often violated in model selection...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Econometric Research Association
2010-09-01
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| Series: | International Econometric Review |
| Subjects: | |
| Online Access: | http://www.era.org.tr/makaleler/27040054.pdf |