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Accumulative prediction error as a method of model selection

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  • Mariola Pilatowska

    (Wydzial Nauk Ekonomicznych i Zarzadzania UMK)

Abstract

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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File URL: http://www.aunc.ekonomia.umk.pl/Pliki/2010/03_Pilatowska.pdf
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Bibliographic Info

Article provided by Uniwersytet Mikolaja Kopernika in its journal Acta Universitatis Nicolai Copernici, Ekonomia.

Volume (Year): 41 (2010)
Issue (Month): ()
Pages: 43-56

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Handle: RePEc:cpn:umkanc:2010:p:43-56

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Web page: http://www.wydawnictwoumk.pl

Related research

Keywords: model selection; meta-selection; information criteria; accumulative prediction error.;

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