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

The paper provides Monte Carlo evidence on the performance of general-to-specific and specific-to-general selection of explanatory variables in linear (auto)regressions. In small samples the former is markedly inefficient in terms of ex-ante forecasting performance.

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Year of publication:	2007
Authors:	Herwartz, Helmut
Publisher:	Kiel : Kiel University, Department of Economics
Subject:	Model selection \| specification testing \| Lagrange multiplier tests

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Series:	Economics Working Paper ; 2007-09
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	527926728 [GVK] hdl:10419/22025 [Handle] RePEc:zbw:cauewp:5537 [RePEc]
Classification:	C22 - Time-Series Models ; C51 - Model Construction and Estimation
Source:	EconStor

Persistent link: https://www.econbiz.de/10010296273