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.

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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