Choosing a Model and Strategy of Model Selection by Accumulated Prediction Error
The purpose of the paper is to present and apply the accumulative one-step-ahead prediction error (APE) not only as a method (strategy) of model selection, but also as a tool of model selection strategy (meta-selection). The APE method is compared with the information approach to model selection (AIC and BIC information criteria), supported by empirical examples. Obtained results indicated that the APE method may be of considerable practical importance.
References listed on IDEAS
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- Rudebusch, Glenn D, 1993.
"The Uncertain Unit Root in Real GNP,"
American Economic Review,
American Economic Association, vol. 83(1), pages 264-272, March.
- Stock, James H. & Watson, Mark W., 1986. "Does GNP have a unit root?," Economics Letters, Elsevier, vol. 22(2-3), pages 147-151.
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