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Reproducible Econometrics Using R$
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Jeffrey S. Racine

Print publication date: 2019

Print ISBN-13: 9780190900663

Published to Oxford Scholarship Online: January 2019

DOI: 10.1093/oso/9780190900663.001.0001

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Model Uncertainty

Model Uncertainty

(p.175) Chapter 6 Model Uncertainty
Reproducible Econometrics Using R

Jeffrey S. Racine

Oxford University Press

This chapter covers model selection methods and model averaging methods. It relies on knowledge of solving a quadratic program which is outlined in an appendix.

Keywords:   model selection, AIC, BIC, frequentist model averaging

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