Robust Model Selection and M-Estimation

José António Ferreira Machado

Econometric Theory, 1993, vol. 9, issue 03, pages 478-493

Abstract: This paper studies the qualitative robustness properties of the Schwarz information criterion (SIC) based on objective functions defining M-estimators. A definition of qualitative robustness appropriate for model selection is provided and it is shown that the crucial restriction needed to achieve robustness in model selection is the uniform boundedness of the objective function. In the process, the asymptotic performance of the SIC for general M-estimators is also studied. The paper concludes with a Monte Carlo study of the finite sample behavior of the SIC for different specifications of the sample objective function.

Date: 1993
View citations in EconPapers

Downloads: (external link)
http://journals.cambridge.org/abstract_S0266466600007775 link to article abstract page (text/html)

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:cup:etheor:v:9:y:1993:i:03:p:478-493_00

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press
Address: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Series data maintained by Mike Eden ().