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.

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Year of publication:	2004-01-01
Authors:	Gorobets, Gorobets, A.
Institutions:	Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam
Subject:	criteria \| selection \| simulation \| simultaneous equations

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Extent:	application/pdf
Series:	ERIM Report Series Research in Management. - ISSN 1566-5283.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series RePEc:ems:eureri Number ERS-2003-023-ORG
Classification:	C30 - Econometric Methods: Multiple/Simultaneous Equation Models. General ; L2 - Firm Objectives, Organization, and Behavior ; M - Business Administration and Business Economics; Marketing; Accounting ; M10 - Business Administration. General ; M12 - Personnel Management
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010837511