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:	1991
Authors:	Panaretos, John ; Psarakis, Stelios

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Panaretos, John and Psarakis, Stelios (1991): On a Testing Procedure for Model Selection. Published in: Proceedings of the 48th Session of the International Statistical Institute, Cairo (1991): pp. 513-514.
Classification:	C1 - Econometric and Statistical Methods: General
Source:	BASE

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