On a Testing Procedure for Model Selection

In this paper a forecasting model selection scheme is considered which amounts to testing the predictive behaviour of a model by adopting Xekalaki and Katti's (1984) idea of assigning to its performance a score for each of a series of time points. The score reflects how close to, or how far from, the predictive value the observed actual value is. A statistical test is proposed for comparing the forecasting performances of two models

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Year of publication:	[2006]
Authors:	Panaretos, John
Other Persons:	Psarakis, Stelios (contributor)
Publisher:	[2006]: [S.l.] : SSRN
Subject:	Modellierung \| Scientific modelling \| Theorie \| Theory \| Statistischer Test \| Statistical test

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Extent:	1 Online-Ressource (2 p)
Type of publication:	Book / Working Paper
Language:	English
Source:	ECONIS - Online Catalogue of the ZBW

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