Cross-validation for selecting a model selection procedure

Published 2015 View Full Article

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Title
Cross-validation for selecting a model selection procedure
Authors
Keywords
Cross-validation, Cross-validation paradox, Data splitting ratio, Adaptive procedure selection, Information criterion, LASSO, MCP, SCAD
Journal
JOURNAL OF ECONOMETRICS
Volume 187, Issue 1, Pages 95-112
Publisher
Elsevier BV
Online
2015-02-18
DOI
10.1016/j.jeconom.2015.02.006

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