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An R2criterion based on optimal predictors

Author

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  • Larry Taylor

Abstract

The predictor that minimizes mean-squared prediction error is used to derive a goodness-of-fit measure that offers an asymptotically valid model selection criterion for a wide variety of regression models. In particular, a new goodness-of-fit criterion (cr2) is proposed for censored or otherwise limited dependent variables. The new goodness-of-fit measure is then applied to the analysis of duration.

Suggested Citation

  • Larry Taylor, 1997. "An R2criterion based on optimal predictors," Econometric Reviews, Taylor & Francis Journals, vol. 16(1), pages 109-118.
  • Handle: RePEc:taf:emetrv:v:16:y:1997:i:1:p:109-118
    DOI: 10.1080/07474939708800375
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    Citations

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    Cited by:

    1. Ruprecht, Benedikt & Entrop, Oliver & Kick, Thomas & Wilkens, Marco, 2013. "Market timing, maturity mismatch, and risk management: Evidence from the banking industry," Discussion Papers 56/2013, Deutsche Bundesbank.
    2. Larry W. Taylor, 2009. "PENALIZED-R-super-2 CRITERIA FOR MODEL SELECTION," Manchester School, University of Manchester, vol. 77(6), pages 699-717, December.

    More about this item

    Keywords

    goodness-of-fit; optimal predictor; nonlinear; multivariate; instrumental variables; deration; JET Classification Numbers: C50; C52; C41;

    JEL classification:

    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies

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