Model selection test procedures in a single linear equation of a dynamic simultaneous system and their defects in small samples

1985 ◽  
Vol 28 (3) ◽  
pp. 327-362 ◽  
Author(s):  
Jan F. Kiviet
Keyword(s):  
Model Selection ◽  
Linear Equation ◽  
Small Samples ◽  
Test Procedures ◽  
Simultaneous System ◽  
Selection Test

An Improved Selection Test between Autoregressive and Moving Average Disturbances in Regression Models

2016 ◽  
Vol 8 (1) ◽  
Author(s):  
Pierre Nguimkeu
Keyword(s):  
Interest Rate ◽  
Regression Models ◽  
Real Interest Rate ◽  
Moving Average ◽  
Asymptotic Properties ◽  
Autoregressive Process ◽  
Small Samples ◽  
Average Scheme ◽  
First Order ◽  
Selection Test

AbstractThis paper proposes an improved likelihood-based method to test the hypothesis that the disturbances of a linear regression model are generated by a first-order autoregressive process against the alternative that they follow a first-order moving average scheme. Compared with existing tests which usually rely on the asymptotic properties of the estimators, the proposed method has remarkable accuracy, particularly in small samples. Simulations studies are provided to show the superior accuracy of the method compared to the traditional tests. An empirical example using Canada real interest rate illustrates the implementation of the proposed method in practice.

IMPROVED ESTIMATORS OF BREGMAN DIVERGENCE FOR MODEL SELECTION IN SMALL SAMPLES

2018 ◽  
Vol 54 (2) ◽  
pp. 189-224
Author(s):  
Papa Ngom ◽  
Jean de Dieu Nkurunziza ◽  
Carlos Ogouyandjou
Keyword(s):  
Model Selection ◽  
Small Samples ◽  
Bregman Divergence ◽  
Improved Estimators

Model Selection for Extended Quasi-Likelihood Models in Small Samples

Biometrics ◽  
1995 ◽  
Vol 51 (3) ◽  
pp. 1077 ◽  
Author(s):  
Clifford M. Hurvich ◽  
Chih-Ling Tsai
Keyword(s):  
Model Selection ◽  
Small Samples ◽  
Selection For
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