Choosing a Model and Strategy of Model Selection by Accumulated Prediction Error

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.

MoreLess

Year of publication:	2010
Authors:	Pilatowska, Mariola
Published in:	Dynamic Econometric Models. - Uniwersytet Mikolaja Kopernika. - Vol. 10.2010, p. 107-119
Publisher:	Uniwersytet Mikolaja Kopernika
Subject:	model selection \| meta-selection \| information criteria \| accumulative prediction error

More details

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

Persistent link: https://www.econbiz.de/10009001732