A corrected AIC for the selection of seemingly unrelated regressions models
Methodology
2009-06-05 v2
Abstract
A bias correction to Akaike's information criterion (AIC) is derived for seemingly unrelated regressions models. The correction is of particular use when the sample size is not much larger than the number of fitted parameters. A small-sample simulation study indicates that the bias-corrected AIC (AICc) provides better model choices than other model selection criteria.
Keywords
Cite
@article{arxiv.0906.0708,
title = {A corrected AIC for the selection of seemingly unrelated regressions models},
author = {J. L. van Velsen},
journal= {arXiv preprint arXiv:0906.0708},
year = {2009}
}
Comments
9 pages including 1 figure and 3 tables; v2: revtex4, typos corrected