Model selection for regression with heteroskedastic and autocorrelated errors
Economics Letters, 2013, vol. 118, issue 3, 497-501
This paper develops new model selection criteria for regression with heteroskedastic and autocorrelated errors. We prove the selection consistency of the introduced criteria and evaluate their performance by simulation. The results suggest that the new criteria may bring significant improvement relative to the traditional criteria. Besides, we discuss how the idea behind the new criteria can apply to model selection for a general class of M-estimation models.
Keywords: Information criterion; Model selection; Selection consistency (search for similar items in EconPapers)
JEL-codes: C10 C15 C52 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:118:y:2013:i:3:p:497-501
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