Zhang, Xinyu; Wan, Alan T. K.; Zhou, Sherry Z. - In: Journal of Business & Economic Statistics 30 (2012) 1, pp. 132-142
Claeskens and Hjort (2003) have developed a focused information criterion (FIC) for model selection that selects different models based on different focused functions with those functions tailored to the parameters singled out for interest. Hjort and Claeskens (2003) also have presented model...
