Model selection by sequentially normalized least squares
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Hansen M. H & Yu B., 2001. "Model Selection and the Principle of Minimum Description Length," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 746-774, June.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Jussi Määttä & Daniel F. Schmidt & Teemu Roos, 2016. "Subset Selection in Linear Regression using Sequentially Normalized Least Squares: Asymptotic Theory," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 43(2), pages 382-395, June.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Seongkyoon Jeong & Jae Young Choi, 2012. "The taxonomy of research collaboration in science and technology: evidence from mechanical research through probabilistic clustering analysis," Scientometrics, Springer;Akadémiai Kiadó, vol. 91(3), pages 719-735, June.
- Poskitt, D.S. & Sengarapillai, Arivalzahan, 2013.
"Description length and dimensionality reduction in functional data analysis,"
Computational Statistics & Data Analysis, Elsevier, vol. 58(C), pages 98-113.
- D. S. Poskitt & Arivalzahan Sengarapillai, 2009. "Description Length and Dimensionality Reduction in Functional Data Analysis," Monash Econometrics and Business Statistics Working Papers 13/09, Monash University, Department of Econometrics and Business Statistics.
- Mark F. J. Steel, 2020.
"Model Averaging and Its Use in Economics,"
Journal of Economic Literature, American Economic Association, vol. 58(3), pages 644-719, September.
- Steel, Mark F. J., 2017. "Model Averaging and its Use in Economics," MPRA Paper 81568, University Library of Munich, Germany.
- Steel, Mark F. J., 2017. "Model Averaging and its Use in Economics," MPRA Paper 90110, University Library of Munich, Germany, revised 16 Nov 2018.
- Njindan Iyke, Bernard, 2015. "Macro Determinants of the Real Exchange Rate in a Small Open Small Island Economy: Evidence from Mauritius via BMA," MPRA Paper 68968, University Library of Munich, Germany.
- Paul L. Bowen & Robert A. O'Farrell & Fiona H. Rohde, 2009. "An Empirical Investigation of End-User Query Development: The Effects of Improved Model Expressiveness vs. Complexity," Information Systems Research, INFORMS, vol. 20(4), pages 565-584, December.
- Brockwell, P. J. & Dahlhaus, R., 2004. "Generalized Levinson-Durbin and Burg algorithms," Journal of Econometrics, Elsevier, vol. 118(1-2), pages 129-149.
- Magkonis, Georgios & Zekente, Kalliopi-Maria, 2020. "Inflation-output trade-off: Old measures, new determinants?," Journal of Macroeconomics, Elsevier, vol. 65(C).
- Branimir Jovanovic, 2017.
"Growth forecast errors and government investment and consumption multipliers,"
International Review of Applied Economics, Taylor & Francis Journals, vol. 31(1), pages 83-107, January.
- Branimir Jovanovic, 2013. "Growth Forecast Errors and Government Investment and Consumption Multipliers," CEIS Research Paper 301, Tor Vergata University, CEIS, revised 17 Dec 2013.
- Karol Szafranek & Marek Kwas & Grzegorz Szafrański & Zuzanna Wośko, 2020. "Common Determinants of Credit Default Swap Premia in the North American Oil and Gas Industry. A Panel BMA Approach," Energies, MDPI, vol. 13(23), pages 1-23, November.
- Klaus Wohlrabe & Teresa Buchen, 2014.
"Assessing the Macroeconomic Forecasting Performance of Boosting: Evidence for the United States, the Euro Area and Germany,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(4), pages 231-242, July.
- Teresa Buchen & Klaus Wohlrabe, 2013. "Assessing the Macroeconomic Forecasting Performance of Boosting - Evidence for the United States, the Euro Area, and Germany," CESifo Working Paper Series 4148, CESifo.
- Teresa, Buchen & Wohlrabe, Klaus, 2014. "Assessing the Macroeconomic Forecasting Performance of Boosting: Evidence for the United States, the Euro Area, and Germany," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100626, Verein für Socialpolitik / German Economic Association.
- Joris Mulder & James O. Berger & Víctor Peña & M. J. Bayarri, 2021. "On the prevalence of information inconsistency in normal linear models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 30(1), pages 103-132, March.
- repec:spo:wpmain:info:hdl:2441/5fafm6me7k8omq5jbo61urqq27 is not listed on IDEAS
- repec:hal:spmain:info:hdl:2441/5fafm6me7k8omq5jbo61urqq27 is not listed on IDEAS
- Marcos Prates & Renato Assunção & Marcelo Costa, 2012. "Flexible scan statistic test to detect disease clusters in hierarchical trees," Computational Statistics, Springer, vol. 27(4), pages 715-737, December.
- Jan G. De Gooijer & Ao Yuan, 2008. "MDL Mean Function Selection in Semiparametric Kernel Regression Models," Tinbergen Institute Discussion Papers 08-046/4, Tinbergen Institute.
- Christian Pierdzioch & Rangan Gupta & Hossein Hassani & Emmanuel Silva, 2018. "Forecasting Changes of Economic Inequality: A Boosting Approach," Working Papers 201868, University of Pretoria, Department of Economics.
- Yue, Mu & Li, Jialiang & Cheng, Ming-Yen, 2019. "Two-step sparse boosting for high-dimensional longitudinal data with varying coefficients," Computational Statistics & Data Analysis, Elsevier, vol. 131(C), pages 222-234.
- Massimo Marinacci, 2015.
"Model Uncertainty,"
Journal of the European Economic Association, European Economic Association, vol. 13(6), pages 1022-1100, December.
- Massimo Marinacci, 2015. "Model Uncertainty," Working Papers 553, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Sylvain Barde, 2017.
"A Practical, Accurate, Information Criterion for Nth Order Markov Processes,"
Computational Economics, Springer;Society for Computational Economics, vol. 50(2), pages 281-324, August.
- Sylvain Barde, 2017. "A Practical, Accurate, Information Criterion for Nth Order Markov Processes," Post-Print hal-03471817, HAL.
- Sylvain Barde, 2017. "A Practical, Accurate, Information Criterion for Nth Order Markov Processes," SciencePo Working papers Main hal-03471817, HAL.
- Ivan Chang, Yuan-Chin & Huang, Yufen & Huang, Yu-Pai, 2010. "Early stopping in L2Boosting," Computational Statistics & Data Analysis, Elsevier, vol. 54(10), pages 2203-2213, October.
- Branimir Jovanovic, 2012. "How Policy Actions Affect Short-term Post-crisis Recovery?," CEIS Research Paper 253, Tor Vergata University, CEIS, revised 05 Oct 2012.
- Paul Hofmarcher & Jesús Crespo Cuaresma & Bettina Grün & Kurt Hornik, 2015. "Last Night a Shrinkage Saved My Life: Economic Growth, Model Uncertainty and Correlated Regressors," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(2), pages 133-144, March.
More about this item
Keywords
Linear regression Time series Model selection Order estimation Predictive least squares;Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:101:y:2010:i:4:p:839-849. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.