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A note on model selection in (time series) regression models - General-to-specific or specific-to-general?

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Author Info
Herwartz, Helmut
Abstract

The paper provides Monte Carlo evidence on the performance of general-to-specific and specific-to-general selection of explanatory variables in linear (auto)regressions. In small samples the former is markedly inefficient in terms of ex-ante forecasting performance.

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File URL: http://opus.zbw-kiel.de/volltexte/2007/5537/pdf/EWP-2007-09.pdf
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Publisher Info
Paper provided by Christian-Albrechts-University of Kiel, Department of Economics in its series Economics working papers with number 2007,09.

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Date of creation: 2007
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Handle: RePEc:zbw:cauewp:5537

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Web page: http://www.wiso.uni-kiel.de/econ/

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Related research
Keywords: Model selection specification testing Lagrange multiplier tests

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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This page was last updated on 2008-7-11.

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