Template-Type: ReDIF-Paper 1.0
Author-Name: Gorobets, A.
Author-Name-Last: Gorobets
Author-Name-First: Alexander
Title: The Optimal Prediction Simultaneous Equations Selection
Abstract: 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.
Creation-Date: 2004-01-01
File-URL: https://repub.eur.nl/pub/1839/ERS%202003%20024%20ORG.pdf
File-Format: application/pdf
Series: RePEc:ems:eureri
Number: ERS-2003-023-ORG
Classification-JEL: C30, L2, M, M10, M12
Keywords: criteria, selection, simulation, simultaneous equations
Handle: RePEc:ems:eureri:1839