A note on model selection in (time series) regression models - General-to-specific or specific-to-general?

A note on model selection in (time series) regression models - General-to-specific or specific-to-general?

Herwartz, Helmut, (2007)

Specific-to-general predictor selection in approximate autoregressions—Monte Carlo evidence and a large scale performance assessment with real data

Herwartz, Helmut, (2011)

Forecast accuracy and uncertainty in applied econometrics: a recommendation of specific-to-general predictor selection

Herwartz, Helmut, (2011)