Research Article
Model and Variable Selection Procedures for Semiparametric Time Series Regression
Table 1
Means (standard deviations) of
.
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| | | | | | | PLS | BIC | 0.069 (0.013) | 0.081(0.017) | 0.114 (0.037) | 0.232 (0.115) | | GIC | 0.047 (0.013) | 0.062 (0.015) | 0.106 (0.037) | 0.229 (0.120) | | BIC | 0.042 (0.010) | 0.060 (0.019) | 0.103 (0.039) | 0.226 (0.124) | PLS + HT | BIC | 0.061 (0.040) | 0.070 (0.021) | 0.101 (0.038) | 0.226 (0.103) | | GIC | 0.053 (0.017) | 0.068 (0.020) | 0.101 (0.034) | 0.218 (0.097) | | BIC | 0.046 (0.015) | 0.060 (0.019) | 0.093 (0.034) | 0.214 (0.101) |
| | | | | | | PLS | BIC | 0.041(0.008) | 0.052 (0.012) | 0.080 (0.025) | 0.172 (0.080) | | GIC | 0.034 (0.008) | 0.044 (0.011) | 0.074 (0.026) | 0.170 (0.080) | | BIC | 0.036 (0.010) | 0.044 (0.010) | 0.070 (0.024) | 0.163 (0.079) | PLS + HT | BIC | 0.042 (0.008) | 0.051 (0.016) | 0.080 (0.024) | 0.172 (0.079) | | GIC | 0.040 (0.015) | 0.048 (0.016) | 0.073 (0.024) | 0.168 (0.078) | | BIC | 0.037 (0.011) | 0.041 (0.011) | 0.068 (0.023) | 0.158 (0.075) |
| | | | | | | PLS | BIC | 0.029 (0.005) | 0.040 (0.016) | 0.058 (0.018) | 0.129 (0.056) | | GIC | 0.025 (0.008) | 0.033 (0.010) | 0.056 (0.018) | 0.125 (0.057) | | BIC | 0.029 (0.006) | 0.031 (0.007) | 0.050 (0.015) | 0.114 (0.052) | PLS + HT | BIC | 0.030 (0.005) | 0.040 (0.016) | 0.058 (0.019) | 0.127 (0.053) | | GIC | 0.027 (0.009) | 0.033 (0.011) | 0.054 (0.015) | 0.123 (0.054) | | BIC | 0.019 (0.008) | 0.028 (0.009) | 0.047 (0.018) | 0.109 (0.048) |
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