Information criteria for selecting possibly misspecified parametric models

A new look at the statistical model identification

Hirotugu Akaike · IEEE Transactions on Automatic Control · 1974 · 50.7K citations · Full text

Business, Biostatistics, Statistical Modeling +9

Generalized autoregressive conditional heteroskedasticity

Tim Bollerslev · Journal of Econometrics · 1986 · 22.3K citations · Full text

Business, Finance, Econometrics +11

On Information and Sufficiency

S. Kullback, R. A. Leibler · The Annals of Mathematical Statistics · 1951 · 20K citations · Full text

Social Sciences, Economics, Information Theory +6

Modeling by shortest data description

J. Rissanen · Automatica · 1978 · 6K citations

Computing, Computer Science, Algorithms +7

Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses

Quang Vuong · Econometrica · 1989 · 6K citations

Natural Sciences, Biostatistics, Econometrics +16