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Choosing a Model and Strategy of Model Selection by Accumulated Prediction Error
Dynamic Econometric Models
View Archive Info| Field | Value | |
| Title |
Choosing a Model and Strategy of Model Selection by Accumulated Prediction Error
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| Creator |
Piłatowska, Mariola; Nicolaus Copernicus University in Toruń
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| Subject |
model selection, meta-selection, information criteria, accumulative prediction error
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| Description |
The purpose of the paper is to present and apply the accumulative one-step-ahead prediction error (APE) not only as a method (strategy) of model selection, but also as a tool of model selection strategy (meta-selection). The APE method is compared with the information approach to model selection (AIC and BIC information criteria), supported by empirical examples. Obtained results indicated that the APE method may be of considerable practical importance.
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| Publisher |
Nicolaus Copernicus University
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| Contributor |
—
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| Date |
2010-07-17
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
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| Format |
application/pdf
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| Identifier |
http://apcz.pl/czasopisma/index.php/DEM/article/view/DEM.2010.009
10.12775/DEM.2010.009 |
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| Source |
Dynamic Econometric Models; Vol 10 (2010); 107-119
Dynamic Econometric Models; Vol 10 (2010); 107-119 2450-7067 1234-3862 |
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| Language |
eng
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| Relation |
http://apcz.pl/czasopisma/index.php/DEM/article/view/DEM.2010.009/4031
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