Consistent linear model selection

In this note we derive the rate of divergence of the penalty term for consistent model selection in the linear regression model under a general error structure.

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Year of publication:	2006
Authors:	Zhao, Meng ; Kulasekera, K.B.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 76.2006, 5, p. 520-530
Publisher:	Elsevier
Keywords:	Design variables Linear model Squared error loss

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005314094