In this paper we study various methods for detecting the co integrating rank as the number of variables gets large. We show that the use of standard tools will always lead to misleading inferences in such settings due to excessive size distortions. Particularly the LR test tends to produce too...

We propose a new Information Criterion for Impulse Response Function Matching estimators of the structural parameters of macroeconomic models. The main advantage of our procedure is that it allows the researcher to select the impulse responses that are most informative about the deep parameters,...

In this article we examine how model selection in neural networks can be guided by statistical procedures such as hypotheses tests, information criteria and cross validation. The application of these methods in neural network models is discussed, paying attention especially to the identification...

In this article we examine how model selection in neural networks can be guided by statistical procedures such as hypotheses tests, information criteria and cross validation. The application of these methods in neural network models is discussed, paying attention especially to the identification...

As mixture regression models increasingly receive attention from both theory and practice, the question of selecting the correct number of segments gains urgency. A misspecification can lead to an under- or oversegmentation, thus resulting in flawed management decisions on customer targeting or...

The problem of test of fit for Vector AutoRegressive (VAR) processes with unconditionally heteroscedastic errors is studied. This problem is motivated by numerous examples of series presenting such a pattern. Our analysis is based on the residual autocorrelations obtained from Ordinary Least...