Model and Variable Selection Procedures for Semiparametric Time Series Regression

Table 2

Means (standard deviations) of RASE_𝛽 .

		𝜌=0.0	𝜌=0.25	𝜌=0.50	𝜌=0.75
𝑛=50
PLS	BIC𝑚	0.022 (0.007)	0.023 (0.007)	0.022 (0.007)	0.020 (0.007)
	GIC	0.021 (0.006)	0.023 (0.007)	0.023 (0.010)	0.021 (0.007)
	BIC𝑝	0.021(0.006)	0.022 (0.007)	0.022 (0.009)	0.020 (0.007)
PLS + HT	BIC𝑚	0.011(0.005)	0.013 (0.007)	0.012 (0.007)	0.010 (0.005)
	GIC	0.010 (0.004)	0.013 (0.007)	0.013 (0.009)	0.011(0.006)
	BIC𝑝	0.010 (0.004)	0.011 (0.005)	0.011 (0.006)	0.010 (0.005)
𝑛=100
PLS	BIC𝑚	0.014 (0.004)	0.014 (0.004)	0.014 (0.005)	0.012 (0.004)
	GIC	0.013 (0.004)	0.014 (0.004)	0.013 (0.004)	0.012 (0.004)
	BIC𝑝	0.014 (0.004)	0.014 (0.004)	0.013 (0.004)	0.011 (0.004)
PLS + HT	BIC𝑚	0.007 (0.003)	0.008 (0.004)	0.007 (0.004)	0.006 (0.003)
	GIC	0.007 (0.003)	0.008 (0.004)	0.007 (0.003)	0.006 (0.003)
	BIC𝑝	0.007 (0.003)	0.007 (0.003)	0.006 (0.003)	0.006 (0.003)
𝑛=200
PLS	BIC𝑚	0.009 (0.003)	0.009 (0.003)	0.009 (0.003)	0.007 (0.002)
	GIC	0.009 (0.003)	0.009 (0.003)	0.008 (0.003)	0.007 (0.002)
	BIC𝑝	0.009 (0.003)	0.009 (0.003)	0.008 (0.002)	0.007 (0.002)
PLS + HT	BIC𝑚	0.004 (0.002)	0.005 (0.002)	0.005 (0.002)	0.005 (0.002)
	GIC	0.005 (0.002)	0.005 (0.002)	0.005 (0.002)	0.004 (0.002)
	BIC𝑝	0.005 (0.002)	0.005 (0.002)	0.004 (0.002)	0.005 (0.002)