Focused Information Criteria, Model Selection, and Model Averaging in a Tobit Model With a Nonzero Threshold
非零阈值 Tobit 模型中的聚焦信息准则、模型选择与模型平均
Claeskens and Hjort (2003) have developed a focused information criterion (FIC) for model selection that selects different models based on different focused functions with those functions tailored to the parameters singled out for interest. Hjort and Claeskens (2003) also have presented model averaging as an alternative to model selection, and suggested a local misspecification framework for studying the limiting distributions and asymptotic risk properties of post-model…