Fourier methods for model selection

M. Jiménez-Gamero, A. Batsidis and M. Alba-Fernández ()

Annals of the Institute of Statistical Mathematics, 2016, vol. 68, issue 1, 105-133

Abstract: A test approach to the model selection problem based on characteristic functions (CFs) is proposed. The scheme is close to that proposed by Vuong (Econometrica 57:257–306, 1989 ), which is based on comparing estimates of the Kullback–Leibler distance between each candidate model and the true population. Other discrepancy measures could be used. This is specially appealing in cases where the likelihood of a model cannot be calculated or even, if it has a closed expression, it is either not easily tractable or not regular enough. In this work, the closeness is measured by means of a distance based on the CFs. As a prerequisite, some asymptotic properties of the minimum integrated squared error estimators are studied. From these properties, consistent tests for model selection based on CFs are given for separate, overlapping and nested models. Several examples illustrate the application of the proposed methods. Copyright The Institute of Statistical Mathematics, Tokyo 2016

Keywords: Empirical characteristic function; Model selection; Misspecified models (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://hdl.handle.net/10.1007/s10463-014-0491-8 (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: https://EconPapers.repec.org/RePEc:spr:aistmt:v:68:y:2016:i:1:p:105-133

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/10463/PS2

DOI: 10.1007/s10463-014-0491-8

Access Statistics for this article

Annals of the Institute of Statistical Mathematics is currently edited by Tomoyuki Higuchi

More articles in Annals of the Institute of Statistical Mathematics from Springer, The Institute of Statistical Mathematics
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().