 | Assistant Professor of Economics, Iowa State University Verified email at iastate.edu Cited by 6 |
Abstract This paper uses dimension asymptotics to study why overfit linear regression
models should be compared out-of-sample; we let the number of predictors used by the
larger model increase with the number of observations so that their ratio remains uniformly ...
[CITATION] Hypothesis testing in linear regression when k/n is large
G Calhoun - 2008 - unpublished manuscript, Iowa State …
G Calhoun - Journal of Econometrics, 2011 - Elsevier
This paper derives the asymptotic distribution of the F-test for the significance of linear
regression coefficients as both the number of regressors, k, and the number of observations,
n, increase together so that their ratio remains positive in the limit. The conventional ...
Abstract This paper conducts an empirical comparison of several methods for comparing
nested forecasting models out-of-sample: Giacomini and White's (2006) and Calhoun's
(2010), Clark and West's (2006, 2007) corrected Gaussian statistic, and McCracken's ( ...
G Calhoun - 2012 - econ.iastate.edu
This class has two main goals. It will train you to better understand global and national
Macroeconomic events (recessions, expansions, etc.), including the recent financial crisis
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