A small-sample correction for the Schwarz SIC model selection criterion

Allan D. McQuarrie

Statistics & Probability Letters, 1999, vol. 44, issue 1, 79-86

Abstract: The relationship between AIC and AICc is used to derive the small-sample correction, SICc, for Schwarz's SIC model selection criterion. Small-sample properties of SIC and SICc are discussed. Small-sample and large-scale simulation studies including nonnormal errors are presented as well. Consistent criteria are useful when there is a large number of extraneous variables in a study. Consistent criteria are less affected by the increased opportunity for overfitting.

Keywords: Regression; Underfitting; Overfitting; Consistency; Observed; efficiency; HQ; HQc; GM; AIC; AICc (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (6)

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