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.

criteria, selection, simulation, simultaneous equations
Econometric Methods: Multiple/Simultaneous Equation Models; Multiple Variables: General (jel C30), Firm Objectives, Organization, and Behavior (jel L2), Business Administration and Business Economics; Marketing; Accounting (jel M), Business Administration: General (jel M10), Personnel Management (jel M12)
hdl.handle.net/1765/1839
ERIM Report Series Research in Management
Erasmus Research Institute of Management

Gorobets, A. (2004). The Optimal Prediction Simultaneous Equations Selection (No. ERS-2003-023-ORG). ERIM Report Series Research in Management. Retrieved from http://hdl.handle.net/1765/1839