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An R2criterion based on optimal predictors

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  • Larry Taylor
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    Abstract

    The 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.

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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Econometric Reviews.

    Volume (Year): 16 (1997)
    Issue (Month): 1 ()
    Pages: 109-118

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    Handle: RePEc:taf:emetrv:v:16:y:1997:i:1:p:109-118

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    Related research

    Keywords: goodness-of-fit; optimal predictor; nonlinear; multivariate; instrumental variables; deration; JET Classification Numbers: C50; C52; C41;

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    Cited by:
    1. 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.

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