An R2criterion based on optimal predictors
AbstractThe predictor that minimizes mean-squared prediction error is used to derive a goodness-of-fit measure that offers an asymptotically valid model selection criterion for a wide variety of regression models. In particular, a new goodness-of-fit criterion (cr2) is proposed for censored or otherwise limited dependent variables. The new goodness-of-fit measure is then applied to the analysis of duration.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Econometric Reviews.
Volume (Year): 16 (1997)
Issue (Month): 1 ()
Contact details of provider:
Web page: http://www.tandfonline.com/LECR20
Find related papers by JEL classification:
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Ruprecht, Benedikt & Entrop, Oliver & Kick, Thomas & Wilkens, Marco, 2013.
"Market Timing, Maturity Mismatch, and Risk Management: Evidence from the Banking Industry,"
Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order
79733, Verein für Socialpolitik / German Economic Association.
- Ruprecht, Benedikt & Entrop, Oliver & Kick, Thomas & Wilkens, Marco, 2013. "Market timing, maturity mismatch, and risk management: Evidence from the banking industry," Discussion Papers 56/2013, Deutsche Bundesbank, Research Centre.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.