An R2criterion based on optimal predictors

The predictor that minimizes mean-squared prediction error is used to derive a goodness-of-fit measure that offers an asymptotically valid model selection criterion for a wide variety of regression models. In particular, a new goodness-of-fit criterion (cr2) is proposed for censored or otherwise limited dependent variables. The new goodness-of-fit measure is then applied to the analysis of duration.

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Year of publication:	1997
Authors:	Taylor, Larry
Published in:	Econometric Reviews. - Taylor & Francis Journals, ISSN 0747-4938. - Vol. 16.1997, 1, p. 109-118
Publisher:	Taylor & Francis Journals
Subject:	goodness-of-fit \| optimal predictor \| nonlinear \| multivariate \| instrumental variables \| deration \| JET Classification Numbers: C50

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005511981