45
Views
0
CrossRef citations to date
0
Altmetric
Inference

Model Selection When a Key Parameter is Constrained to be in an Interval

&
Pages 1270-1280 | Published online: 12 Feb 2011

References

  • Akaike , H. ( 1973 ). Information theory and an extension of the maximum likelihood principle . In : Petrov , B. N. , Csaki , F. , eds. Proceedings of the Second International Symposium on Information Theory . Budapest : Akademiai Kiado , pp. 267 – 281 .
  • Box , G. E. P. , Cox , D. R. ( 1964 ). An analysis of transformations . Journal of the Royal Statistical Society B 26 : 211 – 252 .
  • Cox , D. R. , Reid , N. ( 1987 ). Parameter orthogonality and approximate conditional inference (with discussion) . Journal of the Royal Statistical Society B 49 : 1 – 39 .
  • Engle , R. F. , Hendry , D. F. , Trumble , D. ( 1985 ). Small sample properties of ARCH estimators and tests . Canadian Journal of Economics 18 : 66 – 93 .
  • Granger , C. W. J. , King , M. L. , White , H. ( 1995 ). Comments on testing economic theories and the use of model selection criteria . Journal of Econometrics 67 : 173 – 187 .
  • Hannan , E. J. , Quinn , B. G. ( 1979 ). The determination of the order of an autoregression . Journal of the Royal Statistical Society B 41 : 190 – 195 .
  • Hossain , M. Z. , King , M. L. ( 2003 ). Model selection using AIC in the context of inequality restrictions on key parameters . Journal of Applied Statistical Sciences 12 : 305 – 329 .
  • Hughes , A. W. ( 1997 ). Improved Model Selection Based on AIC-Type Criteria. Ph.D. thesis, Monash University. Unpublished .
  • Hughes , A. W. , King , M. L. ( 2003 ). Model selection using AIC in the presence of one-sided information . Journal of Statistical Planning and Inference 115 : 397 – 411 .
  • Hughes , A. W. , King , M. L. , Kwek , K. T. ( 2004 ). Selecting the order of an ARCH model . Economics Letters 83 : 269 – 275 .
  • Kalbfleisch , J. D. , Sprott , D. A. ( 1970 ). Application of likelihood methods to models involving large numbers of parameters . Journal of the Royal Statistical Society B 32 : 175 – 208 .
  • King , M. L. , Forbes , C. S. , Morgan , A. ( 1995 ). Improved small sample model selection procedures. Paper presented at the 1995 World Congress of the Econometrics Society , Tokyo .
  • Laskar , M. R. , King , M. L. ( 1998 ). Estimation and testing of regression disturbances based on modified likelihood functions . Journal of Statistical Planning and Inference 71 : 75 – 92 .
  • Schwartz , G. ( 1978 ). Estimating the dimension of a model . Annals of Statistics 6 : 461 – 464 .
  • Spitzer , J. J. ( 1978 ). A Monte Carlo investigation of the Box–Cox transformation in small samples . Journal of the American Statistical Association 73 : 488 – 494 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.