“…In a competitive, data and computing-based research environment of twenty first century, the use of statistics in the areas of decision-making, business and computing applications, data mining and knowledge discovery, economics, government and other social sciences is increasing. In these areas, most of the researches are using three important tools for model building and data analysis namely, pretesting of models (McAleer (1987), Wu and King (1990)), model testing (Baltagi (1992(Baltagi ( , 1996, Bhatti (1995Bhatti ( , 2001) and the model selection (Grose and King (1994), Fox (1995), Hossain (1998Hossain ( , 2002) and references therein. The main aim of this paper is to concentrate on the areas of model selection in econometrics with particular emphasis on information criteria.…”