Some convenient limit properties of usual information criteria are given for cointegrating rank selection. Allowing for a non-parametric short memory component and using a reduced rank regression with ...

The purpose of statistical model selection is to identify a parsimonious model, which is a model that is as simple as possible while maintaining good predictive ability over the outcome of interest.

To change the model selection criterion, click the button labeled Root Mean Square Error or select Options from the menu bar and then select Model Selection Criterion ...

This is a preview. Log in through your library . Abstract This paper surveys alternative testing criteria in the linear multivariate regression model, and investigates the possibility of conflict ...