Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 刘民教授 (金融学系) |
全文
| 数位物件识别号 (DOI) ○○@http://aims.cuhk.edu.hk/converis/portal/Publication/2$@○○ |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/2WOS source URL
其它资讯
摘要The seminonparametric (SNP) density estimation proposed by Gallant and Nychka (1987) and Gallant and Tauchen (1989) has been applied in many econometric analyses. In this paper, we show that the information matrix may become singular when an SNP model is overparameterized. This singularity problem may occur even when a model selection criterion penalizes the size of a model, and thus cause problems in the sieves expansion model selection process. We propose to use the likelihood ratio test to safeguard against such overparameterization. (C) 1998 Elsevier Science S.A.
着者Liu M, Zhang HH
期刊名称Economics Letters
出版年份1998
月份7
日期1
卷号60
期次1
出版社ELSEVIER SCIENCE SA
页次11 - 18
国际标準期刊号0165-1765
电子国际标準期刊号1873-7374
语言英式英语
关键词information matrix; singularity; SNP density estimation
Web of Science 学科类别Business & Economics; Economics; ECONOMICS
