Baþçý, Sýdýka; Zaman, Asad; Kiracý, Arzdar - In: International Econometric Review (IER) 2 (2010) 2, pp. 57-72
The large majority of the criteria for model selection are functions of the usual variance estimate for a regression model. The validity of the usual variance estimate depends on some assumptions, most critically the validity of the model being estimated. This is often violated in model...
