PENALIZED-R-super-2 CRITERIA FOR MODEL SELECTION

Larry W. Taylor

Manchester School, 2009, vol. 77, issue 6, pages 699-717

Abstract: It is beneficial to observe that popular model selection criteria for the linear model are equivalent to penalized versions of R-super-2. Let PR-super-2 refer to any one of these model selection criteria. Then PR-super-2 serves the dual purpose of selecting the model and summarizing the resulting fit subject to the penalty function. Furthermore, it is straightforward to extend the logic of PR-super-2 to instrumental variables estimation and the non-parametric selection of regressors. For two-stage least squares estimation, a simulation study investigates the finite-sample performance of PR-super-2 to select the correct model in cases of either strong or weak instruments. Copyright © 2009 The Author. Journal compilation © 2009 Blackwell Publishing Ltd and The University of Manchester.

Date: 2009

Downloads: (external link)
http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-9957.2009.02123.x link to full text (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:bla:manchs:v:77:y:2009:i:6:p:699-717

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=1463-6786

Access Statistics for this article

Manchester School is edited by Keith Blackburn

More articles in Manchester School from University of Manchester
Series data maintained by Christopher F. Baum ().