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Simultaneous Equation Systems Selection Method

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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 structure of a simultaneous equation system from a set of nested models under the condition of a limited sample of observations. The purpose of selection is to identify a model with the best prognostic possibilities. Information criteria are proposed for selecting the best simultaneous equation system structure from the given models set. The selection properties of these criteria are investigated by Monte-Carlo simulations.

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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;ERS-2003-024-ORG.

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Date of creation: 29 Apr 2003
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Handle: RePEc:dgr:eureri:3000328

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Keywords: Simultaneous equations; selection; criteria; simulation;

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