A note on model selection in (time series) regression models – general-to-specific or specific-to-general?
نویسندگان
چکیده
منابع مشابه
A note on model selection in ( time series ) regression models - General - to - specific or specific
The paper provides Monte Carlo evidence on the performance of general-to-specific and specific-to-general selection of explanatory variables in linear (auto)regressions. In small samples the former is markedly inefficient in terms of ex-ante forecasting performance.
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ژورنال
عنوان ژورنال: Applied Economics Letters
سال: 2010
ISSN: 1350-4851,1466-4291
DOI: 10.1080/00036840902845418