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1、RegressionandTimeSeriesModelSelectionRegressionandTimeSeriesModelSelectionAllanDRMcQuarrieNorthDakotaStateUniversityChih-LingTsaiUniversityofCalifornia,DavisWorldScientificSingaporeNewJerseyLondonHongKongPublishedbyWorldScientificPublishingCo.Re.Ltd.P0B
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3、SERIESMODELSELECTIONCopyright01998byWorldScientificPublishingCo.Re.Ltd.Allrightsreserved.Thisbook,orpartsthereof;maynotbereproducedinanyformorbyanymeans,electronicormechanical,includingphotocopying.recordingoranyinformationstorageandretrievalsystemnowkn
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5、r.ISBN981-02-3242-XThisbookisprintedonacid-freepaper.PrintedinSingaporebyUto-PrintToourparents,DonaldandCarole,Liang-ChihandChin-Lin;ourwives,Penelope,Yu-Yen;ourchildren,AntigoneandEvan,Wen-LinandWen-Ting;ourteachers;andourthesisadvisers,RobertShumway,D
6、ennisCook.Contents...Preface.................................................................XUListofTables...........................................................xvChapter1Introduction11.1.Background..................................................
7、....11.1.1.HistoricalReview..........................................21.1.2.EfficientCriteria...........................................31.1.3.ConsistentCriteria.........................................31.2.Overview......................................
8、..................41.2.1.Distributions...............................................41.2.2.ModelNotation............................................51.2.3.DiscrepancyandDistanceMeasures........................51.2.4.Efficiencyun
