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The Optimal Prediction Simultaneous Equations Selection

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Author Info
Gorobets, A. (Erasmus Research Institute of Management (ERIM), RSM Erasmus University)
Abstract

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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File URL: http://hdl.handle.net/1765/1839
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Publisher Info
Paper provided by Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam. in its series Research Paper with number ERS-2003-023-ORG Revision_Date: 2009-08-24.

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Date of creation: 01 Jan 2004
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Handle: RePEc:dgr:eureri:30001987

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Related research
Keywords: simultaneous equations; selection; criteria; simulation;

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  1. Bozdogan, Hamparsum & Haughton, Dominique M. A., 1998. "Informational complexity criteria for regression models," Computational Statistics & Data Analysis, Elsevier, vol. 28(1), pages 51-76, July. [Downloadable!] (restricted)
  2. Brown, Bryan W, 1983. "The Identification Problem in Systems Nonlinear in the Variables," Econometrica, Econometric Society, vol. 51(1), pages 175-96, January. [Downloadable!] (restricted)
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This page was last updated on 2009-12-2.

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