An R2criterion based on optimal predictors
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DOI: 10.1080/07474939708800375
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References listed on IDEAS
- Pesaran, M Hashem & Smith, Richard J, 1994. "A Generalized R[superscript]2 Criterion for Regression Models Estimated by the Instrumental Variables Method," Econometrica, Econometric Society, vol. 62(3), pages 705-710, May.
- Laitila, Thomas, 1993. "A pseudo-R2 measure for limited and qualitative dependent variable models," Journal of Econometrics, Elsevier, vol. 56(3), pages 341-355, April.
- Carter, Richard A. L. & Nagar, Anirudh L., 1977. "Coefficients of correlation for simultaneous equation systems," Journal of Econometrics, Elsevier, vol. 6(1), pages 39-50, July.
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Cited by:
- 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.
- Ruprecht, Benedikt & Entrop, Oliver & Kick, Thomas & Wilkens, Marco, 2013. "Market Timing, Maturity Mismatch, and Risk Management: Evidence from the Banking Industry," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79733, Verein für Socialpolitik / German Economic Association.
- M. Hashem Pesaran & Larry W. Taylor, 1999.
"Diagnostics for IV Regressions,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(2), pages 255-281, May.
- Pesaran, M. H. & Taylor, L.W., 1997. "Diagnostics for IV Regressions," Cambridge Working Papers in Economics 9709, Faculty of Economics, University of Cambridge.
- Pesaran, M Hashem & Taylor, Larry W, 1999.
"Diagnostics for IV Regressions,"
Oxford Bulletin of Economics and Statistics,
Department of Economics, University of Oxford, vol. 61(2), pages 255-281, May.
- Pesaran, M. H. & Taylor, L.W., 1997. "Diagnostics for IV Regressions," Cambridge Working Papers in Economics 9709, Faculty of Economics, University of Cambridge.
- Larry W. Taylor, 2009. "Penalized‐R2 Criteria For Model Selection," Manchester School, University of Manchester, vol. 77(6), pages 699-717, December.
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More about this item
Keywords
goodness-of-fit; optimal predictor; nonlinear; multivariate; instrumental variables; deration; JET Classification Numbers: C50; C52; C41;All these keywords.
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
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