Estimating Regression Models of Finite but Unknown Order

Blackwell Publishing Limited
Publication Type:
Journal Article
International Economic Review, 1981, 22 (1), pp. 54 - 70
Issue Date:
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Examines problems associated with the estimation of the normal linear regression model of finite but unknown sequence of nested alternatives. Estimation criteria for the model selection; Derivation of the numerical bounds on the finite sample distribution; Relation of the estimation criterion functions proposed to other estimation criterion functions.
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