Rech, Gianluigi; Teräsvirta, Timo; Tschernig, Rolf - Sonderforschungsbereich 373, Quantifikation und … - 1999
Applying nonparametric variable selection criteria in nonlinear regression models generally requires a substantial computational effort if the data set is large. In this paper we present a selection technique that is computationally much less demanding and performs well in comparison with...
