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.
|Keywords||criteria, selection, simulation, simultaneous equations|
Gorobets, A.. (2004). The Optimal Prediction Simultaneous Equations Selection (No. ERS-2003-023-ORG). Retrieved from http://hdl.handle.net/1765/1839