Accumulative prediction error as a method of model selection

The purpose of the paper is to present and apply the accumulative one-step-ahead prediction error (APE) not only as a method (strategy) of model selection, but also as a tool of model selection strategy (meta-selection). The APE method is compared with the information approach to model selection (AIC and BIC information criteria), supported by empirical examples. Obtained results indicated that the APE method may be of considerable practical importance.

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Year of publication:	2010
Authors:	Pilatowska, Mariola
Published in:	Acta Universitatis Nicolai Copernici, Ekonomia. - Uniwersytet Mikolaja Kopernika. - Vol. 41.2010, p. 43-56
Publisher:	Uniwersytet Mikolaja Kopernika
Subject:	model selection \| meta-selection \| information criteria \| accumulative prediction error

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Extent:	application/pdf
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010610808