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Handbook of Financial Time Series pp 889–925Cite as

Model Selection

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Abstract

We provide an overview of the vast and rapidly growing area of model selection in statistics and econometrics.

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  1. Department of Statistics, Yale University, 24 Hillhouse Avenue, 06511, New Haven, CT, USA

    Hannes Leeb

  2. Department of Statistics, University of Vienna, Universitätsstrasse 5, 1010, Vienna, Austria

    Benedikt M. Pötscher

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    Leeb, H., Pötscher, B.M. (2009). Model Selection. In: Mikosch, T., Kreiß, JP., Davis, R., Andersen, T. (eds) Handbook of Financial Time Series. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-71297-8_39

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