Baþçý, Sýdýka; Zaman, Asad; Kiracý, Arzdar - In: International Econometric Review (IER) 2 (2010) 2, pp. 57-72
The large majority of the criteria for model selection are functions of the usual variance estimate for a regression … being estimated. This is often violated in model selection contexts, where model search takes place over invalid models. A … (PRESS) in the functions of several model selection criteria. Such replacements improve the probability of finding the true …