In 1928 Cobb and Douglas (C&D) presented a system analysis which established the first empirically identified production model, which forms the foundation for Solow's growth theory and research into productivity growth factors, such as 'technological progress ' and 'human capital development '....

Why do statisticians (econometricians, economists, financial analysts, etc.) continue to incompletely identify the algebraic/geometric structure of the multi-variate data series they profess to analyze, and instead continue to publish the results of incomplete, prejudiced and biased...

This paper presents recent developments in model selection and model averaging for parametric and nonparametric models. While there is extensive literature on model selection under parametric settings, we present recently developed results in the context of nonparametric models. In applications,...

This paper develops model selection and averaging methods for moment restriction models. We first propose a focused information criterion based on the generalized empirical likelihood estimator. We address the issue of selecting an optimal model, rather than a correct model, for estimating a...

To capture location shifts in the context of model selection, we propose selecting significant step indicators from a saturating set added to the union of all of the candidate variables. The null retention frequency and approximate non-centrality of a selection test are derived using a...

A large number of nonlinear conditional heteroskedastic models have been proposed in the literature. Model selection is crucial to any statistical data analysis. In this article, we investigate whether the most commonly used selection criteria lead to choice of the right specification in a...

We examine the relationship between consistent parameter estimation and model selection for autoregressive panel data models with fixed effects. We find that the transformation of fixed effects proposed by Lancaster (2002) does not necessarily lead to consistent estimation of common parameters...

Inferences about the presence or absence of threshold type nonlinearities in TAR models are conducted within models whose lag length has been estimated in a preliminary stage. Typically the null hypothesis of linearity is then tested against a threshold alternative on which the estimated lag...

We establish a maximal moment inequality for the weighted sum of a long- range dependent process. An extension to H$\acute{a}$jek-R$\acute{e}$ny and Chow's type inequality is then obtained. It enables us to deduce a strong law for the weighted sum of a stationary long-range dependent time...

In Poetscher [Econometric Theory (1991), 7, pp 163 - 185] the asymptotic distribution of a post-model-selection estimator, both unconditional and conditional on selecting a correct model, has been derived. Limitations of these results are (i) that they do not provide information on the...