On statistical properties of a test for model structure selection using the extended instrumental variable approach
- 1 January 1994
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 39 (1), 211-215
- https://doi.org/10.1109/9.273371
Abstract
A procedure for structural estimation using the extended instrumental variable technique is presented. The statistical distribution of the test quantity is obtained in the white noise case. A criterion is defined by introducing a penalty term on the decreasing rate (with the number of parameters) of the proposed test quantity. The consistency of the estimate is proven. Monte Carlo simulations are includedKeywords
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