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Variable Selection in the Linear Regression Model with One-Sided Information and a Small Sample

Author

Listed:
  • Anthony W. Hughes

    (School of Economics, University of Adelaide)

Abstract

In the current paper, a one-sided version of a small sample correction to AIC is derived. This criterion will be based upon a two-sided model selection cretirion called AICs developed by Sugiura (1978) and studied in detail by Hurvich and Tsai (1989, 1991).

Suggested Citation

  • Anthony W. Hughes, 1998. "Variable Selection in the Linear Regression Model with One-Sided Information and a Small Sample," School of Economics and Public Policy Working Papers 1998-13, University of Adelaide, School of Economics and Public Policy.
    • Handle: RePEc:adl:wpaper:1998-13
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    File URL: https://media.adelaide.edu.au/economics/papers/doc/wp1998-13.pdf
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    More about this item

    Keywords

    information; economic models; maximum likliehood; simulation;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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