Model selection and paradoxes of prediction (in Russian)

In this essay we postulate a number of theoretical hypotheses allowing one to resolve in some degree the following two prediction paradoxes: (1) why simple linear models often have an advantage in predictive power over more complex nonlinear models that lead to a better in-sample fit; (2) why combinations of forecasts often increase the predictive power of individual forecasts. We also give a numerical example illustrating our theoretical statements.

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Year of publication:	2006
Authors:	Itskhoki, Oleg
Published in:	Quantile. - Quantile. - 2006, 1, p. 43-51
Publisher:	Quantile

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

Persistent link: https://www.econbiz.de/10005422770