The Optimal Prediction Simultaneous Equations Selection

This paper presents a method for selection of the optimal simultaneous equation system from a set of nested models under the condition of a small sample. The purpose of selection is to identify a model with the best prognostic possibilities. Multivariate AIC, BIC and AICC are used as the selection criteria. The selection properties of this method are investigated by Monte-Carlo simulations. They show that the structural form of system can outperform its reduced form for making predictions.

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Year of publication:	2005
Authors:	Gorobets, Alexander
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 3.2005, 36, p. 1-8
Publisher:	AccessEcon
Subject:	criteria

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	C5 - Econometric Modeling
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005181870