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A small-sample correction for the Schwarz SIC model selection criterion

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  • McQuarrie, Allan D.

Abstract

The relationship between AIC and AICc is used to derive the small-sample correction, SICc, for Schwarz's SIC model selection criterion. Small-sample properties of SIC and SICc are discussed. Small-sample and large-scale simulation studies including nonnormal errors are presented as well. Consistent criteria are useful when there is a large number of extraneous variables in a study. Consistent criteria are less affected by the increased opportunity for overfitting.

Suggested Citation

  • McQuarrie, Allan D., 1999. "A small-sample correction for the Schwarz SIC model selection criterion," Statistics & Probability Letters, Elsevier, vol. 44(1), pages 79-86, August.
    • Handle: RePEc:eee:stapro:v:44:y:1999:i:1:p:79-86
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    1. Geweke, John F & Meese, Richard, 1981. "Estimating Regression Models of Finite but Unknown Order," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 22(1), pages 55-70, February.
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    Cited by:

    1. Carlos A. Medel, 2015. "Probabilidad Clásica de Sobreajuste con Criterios de Información: Estimaciones con Series Macroeconómicas Chilenas," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 30(1), pages 57-72, Abril.
    2. Cribari-Neto, Francisco & Scher, Vinícius T. & Bayer, Fábio M., 2023. "Beta autoregressive moving average model selection with application to modeling and forecasting stored hydroelectric energy," International Journal of Forecasting, Elsevier, vol. 39(1), pages 98-109.
    3. Fábio Bayer & Francisco Cribari-Neto, 2015. "Bootstrap-based model selection criteria for beta regressions," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 24(4), pages 776-795, December.
    4. Jennifer L. Castle & Xiaochuan Qin & W. Robert Reed, 2013. "Using Model Selection Algorithms To Obtain Reliable Coefficient Estimates," Journal of Economic Surveys, Wiley Blackwell, vol. 27(2), pages 269-296, April.
    5. Qichang Xie & Yingkun Yan & Xu Wang, 2023. "Assessing the role of foreign direct investment in environmental sustainability: a spatial semiparametric panel approach," Economic Change and Restructuring, Springer, vol. 56(2), pages 1263-1295, April.
    6. Bentolhoda Asl-Rousta & S. Jamshid Mousavi & Majid Ehtiat & Mehdi Ahmadi, 2018. "SWAT-Based Hydrological Modelling Using Model Selection Criteria," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 32(6), pages 2181-2197, April.

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