CHALLENGES FOR ECONOMETRIC MODEL SELECTION

By B. Hansen. Econometric Theory, 2005

111 citations recorded by the source corpus.

Subfields: Artificial Intelligence, Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/69f57c8daa4589f907c008982ec8abe721784a44

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Citations in the corpus

Focused Information Criteria, Model Selection, and Model Averaging in a Tobit Model With a Nonzero Threshold (2012, background): “Other authors, including Hand and Vinciotti (2003), Hansen (2005), and Vaida and Blanchard (2005), also have expressed opinions supporting this view.”
Bonferroni-Based Size-Correction for Nonstandard Testing Problems (2017, unknown): “The methods of Loh (1985) and Hansen (2005b) are analogous to letting δ → α as n → ∞ in the confidence set Iα−δ(ĥn), but simply using the maximand ch(1−α) in the construction of the CV.”
Jackknife model averaging for quantile regressions (2015, unknown): “nonparametric sieve estimation where  →∞ as →∞ for = 1  Alternatively, it is also automatically satisfied if one would like to consider the local asymptotic framework as in Hjort and Clasekens (2003), Leung and Barron (2006), Pötscher (2006), Clasekens and Hjort (2008), Hansen (2009, 2010”
PREDICTION‐FOCUSED MODEL SELECTION FOR AUTOREGRESSIVE MODELS (2007, methodology): “This problem has already been investigated by means of a simulation study by Hansen (2005).”
Variable Selection in Predictive Regressions (2013, background): “As discussed in Hansen (2005) in the context of selecting observed predictors, what is best depends on the objective on hand.”
Focused information criterion and model averaging for generalized additive partial linear models (2011, background): “This occurrence has been confirmed by Hand and Vinciotti (2003) and Hansen (2005).”
Trade openness and economic growth : a cross-country empirical investigation (2008, background): “For instance Hoover and Perez (2004) and Hendry and Krolzig (2004) conclude that fraction of protestants and fraction of confucians are associated with economic growth in the context of general-to-specific search for growth determinants.”