On the distribution function of various model selection criteria with stochastic regressors

Terrence Kinal; Kajal Lahiri

doi:10.1016/0165-1765(85)90135-1

On the distribution function of various model selection criteria with stochastic regressors

Terrence Kinal
, Kajal Lahiri

Economics

University at Albany

SUNY Albany

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

Abstract

It is shown that, at the same level of significance, the power functions of several alternative model selection criteria are identical. We derive the distribution function for the criterion with stochastic regressors and report some calcutions on the power function based on numerical integration.

Original language	English
Pages (from-to)	97-101
Number of pages	5
Journal	Economics Letters
Volume	17
Issue number	1-2
DOIs	https://doi.org/10.1016/0165-1765(85)90135-1
State	Published - 1985

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title = "On the distribution function of various model selection criteria with stochastic regressors",

abstract = "It is shown that, at the same level of significance, the power functions of several alternative model selection criteria are identical. We derive the distribution function for the criterion with stochastic regressors and report some calcutions on the power function based on numerical integration.",

author = "Terrence Kinal and Kajal Lahiri",

year = "1985",

doi = "10.1016/0165-1765(85)90135-1",

language = "English",

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T1 - On the distribution function of various model selection criteria with stochastic regressors

AU - Kinal, Terrence

AU - Lahiri, Kajal

PY - 1985

Y1 - 1985

N2 - It is shown that, at the same level of significance, the power functions of several alternative model selection criteria are identical. We derive the distribution function for the criterion with stochastic regressors and report some calcutions on the power function based on numerical integration.

AB - It is shown that, at the same level of significance, the power functions of several alternative model selection criteria are identical. We derive the distribution function for the criterion with stochastic regressors and report some calcutions on the power function based on numerical integration.

UR - https://www.scopus.com/pages/publications/0041112583

U2 - 10.1016/0165-1765(85)90135-1

DO - 10.1016/0165-1765(85)90135-1

M3 - Article

SN - 0165-1765

VL - 17

SP - 97

EP - 101

JO - Economics Letters

JF - Economics Letters

IS - 1-2

ER -

On the distribution function of various model selection criteria with stochastic regressors

Abstract

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