Search Results - subject:"Kullback–Leibler information"

Akira Toda, Alexis - In: Economic theory : official journal of the Society for … 58 (2015) 2, pp. 375-411

Persistent link: https://www.econbiz.de/10011376158

A comparison of the accuracy of asymptotic approximations in the dynamic regression model using Kullback-Leibler information

Atukorala, Ranjani; Sriananthakumar, Sivagowry - In: Economic modelling 45 (2015), pp. 169-174

Persistent link: https://www.econbiz.de/10011334130

Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts

Diks, Cees; Panchenko, Valentyn; van Dijk, Dick - 2008

multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general …

Persistent link: https://www.econbiz.de/10010325942

Out-of-sample comparison of copula specifications in multivariate density forecasts

Diks, Cees; Panchenko, Valentyn; Dijk, Dick van - School of Economics, UNSW Business School - 2008

multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general …; Kullback-Leibler Information Criterion; empirical copula JEL Classification: C12; C14; C32; C52; C53 ∗Corresponding author … and Vuong (2002). These tests compare the candidate copula specifications in terms of their Kullback-Leibler Information …

Persistent link: https://www.econbiz.de/10005422761

Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts

Diks, Cees; Panchenko, Valentyn; Dijk, Dick van - Tinbergen Instituut - 2008

multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general …

Persistent link: https://www.econbiz.de/10011256012

Out-of-sample comparison of copula specifications in multivariate density forecasts

Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - 2008

multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general …

Persistent link: https://www.econbiz.de/10011377261

Comparing the accuracy of multivariate density forecasts in selected regions of the copula support

Diks, Cees; Panchenko, Valentyn; Sokolinskiy, Oleg; van … - In: Journal of Economic Dynamics and Control 48 (2014) C, pp. 79-94

context of the Kullback–Leibler Information Criterion, using (out-of-sample) conditional likelihood and censored likelihood in …

Persistent link: https://www.econbiz.de/10011077509

Information criteria: How do they behave in different models?

Emiliano, Paulo C.; Vivanco, Mário J.F.; Menezes, … - In: Computational Statistics & Data Analysis 69 (2014) C, pp. 141-153

The choice of the best model is crucial in modeling data, and parsimony is one of the principles that must guide this choice. Despite their broad use in model selection, the foundations of the Akaike information criterion (AIC), the corrected Akaike criterion (AICc) and the Bayesian information...

Persistent link: https://www.econbiz.de/10011056453

Model Comparisons in Unstable Environments

Giacomini, Raffaella; Rossi, Barbara - Barcelona Graduate School of Economics (Barcelona GSE) - 2014

The goal of this paper is to develop formal tests to evaluate the relative in-sample performance of two competing, misspecified, non-nested models in the presence of possible data instability. Compared to previous approaches to model selection, which are based on measures of global performance,...

Persistent link: https://www.econbiz.de/10010950615

Fast algorithms to generate individualized designs for the mixed logit choice model

Crabbe, Marjolein; Akinc, Deniz; Vandebroek, Martina - In: Transportation Research Part B: Methodological 60 (2014) C, pp. 1-15

. This paper introduces three design criteria used in optimal test design, based on Kullback–Leibler information, and …

Persistent link: https://www.econbiz.de/10010744362