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Choosing a Model and Strategy of Model Selection by Accumulated Prediction Error

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Listed:
  • Mariola Pilatowska

    (Nicolaus Copernicus University in Torun)

Abstract

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.

Suggested Citation

  • Mariola Pilatowska, 2010. "Choosing a Model and Strategy of Model Selection by Accumulated Prediction Error," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 10, pages 107-119.
    • Handle: RePEc:cpn:umkdem:v:10:y:2010:p:107-119
    as

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    File URL: http://www.dem.umk.pl/dem/archiwa/v10/09_MPilatowska.pdf
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    References listed on IDEAS

    as
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    4. Rudebusch, Glenn D, 1993. "The Uncertain Unit Root in Real GNP," American Economic Review, American Economic Association, vol. 83(1), pages 264-272, March.
    5. 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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