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Model selection and prediction: Normal regression

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  • T. Speed
  • Bin Yu

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  • T. Speed & Bin Yu, 1993. "Model selection and prediction: Normal regression," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 45(1), pages 35-54, March.
    • Handle: RePEc:spr:aistmt:v:45:y:1993:i:1:p:35-54
    DOI: 10.1007/BF00773667
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    References listed on IDEAS

    as
    1. Geweke, John & Meese, Richard, 1981. "Estimating regression models of finite but unknown order," Journal of Econometrics, Elsevier, vol. 16(1), pages 162-162, May.
    2. Kohn, Robert, 1983. "Consistent Estimation of Minimal Subset Dimension," Econometrica, Econometric Society, vol. 51(2), pages 367-376, March.
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    Cited by:

    1. 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.
    2. Ching-Kang Ing, 2005. "Accumulated Prediction Errors, Information Criteria And Optimal Forecasting For Autoregressive Time Series," Econometrics 0503020, University Library of Munich, Germany.
    3. Schorfheide, Frank, 2005. "VAR forecasting under misspecification," Journal of Econometrics, Elsevier, vol. 128(1), pages 99-136, September.
    4. Zhang, Yongli & Yang, Yuhong, 2015. "Cross-validation for selecting a model selection procedure," Journal of Econometrics, Elsevier, vol. 187(1), pages 95-112.
    5. Wu, Shiang-Jen & Yang, Han-Yuan & Chang, Che-Hao & Hsu, Chih-Tsung, 2023. "Modeling GA-derived optimization analysis for canal-based irrigation water allocation under variations in runoff-related and irrigation-related factors," Agricultural Water Management, Elsevier, vol. 290(C).
    6. Ebney Ayaj Rana & Abu N. M. Wahid, 2017. "Fiscal Deficit and Economic Growth in Bangladesh," The American Economist, Sage Publications, vol. 62(1), pages 31-42, March.
    7. Ching-Kang Ing & Chiao-Yi Yang, 2014. "Predictor Selection for Positive Autoregressive Processes," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 109(505), pages 243-253, March.
    8. Efstathios Polyzos & Costas Siriopoulos, 2024. "Autoregressive Random Forests: Machine Learning and Lag Selection for Financial Research," Computational Economics, Springer;Society for Computational Economics, vol. 64(1), pages 225-262, July.
    9. Ng, Serena, 2013. "Variable Selection in Predictive Regressions," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 752-789, Elsevier.
    10. Rudolf Beran, 1996. "Confidence sets centered at C p -estimators," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 48(1), pages 1-15, March.
    11. Massimo Guidolin & Manuela Pedio, 2020. "Distilling Large Information Sets to Forecast Commodity Returns: Automatic Variable Selection or HiddenMarkov Models?," BAFFI CAREFIN Working Papers 20140, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.

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