IMPROVED ESTIMATION OF THE EXPECTED KULLBACK–LEIBLER DISCREPANCY IN CASE OF MISSPECIFICATION

Erhard Reschenhofer

Econometric Theory, 1999, vol. 15, issue 3, 377-387

Abstract: In case of misspecification, the Akaike information criterion (AIC; Akaike, 1973, in Petrov & Csaki, eds., Second International Symposium on Information Theory, pp. 267–281. Budapest: Akademia Kiado) is an asymptotically biased estimator of the expected Kullback–Leibler discrepancy. This paper gives simple expressions for the bias that can be used to construct improved estimators. However, for the examples that are considered in detail it turns out that model selection procedures based on such improved estimators are nearly equivalent to model selection procedures based on severely biased estimators.

Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:15:y:1999:i:03:p:377-387_15

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