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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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    References listed on IDEAS

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    1. Pesaran, M Hashem & Smith, Richard J, 1994. "A Generalized R[superscript]2 Criterion for Regression Models Estimated by the Instrumental Variables Method," Econometrica, Econometric Society, vol. 62(3), pages 705-710, May.
    2. Laitila, Thomas, 1993. "A pseudo-R2 measure for limited and qualitative dependent variable models," Journal of Econometrics, Elsevier, vol. 56(3), pages 341-355, April.
    3. Carter, Richard A. L. & Nagar, Anirudh L., 1977. "Coefficients of correlation for simultaneous equation systems," Journal of Econometrics, Elsevier, vol. 6(1), pages 39-50, July.
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    1. repec:bla:obuest:v:61:y:1999:i:2:p:255-81 is not listed on IDEAS
    2. 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.
    3. Larry W. Taylor, 2009. "Penalized‐R2 Criteria For Model Selection," Manchester School, University of Manchester, vol. 77(6), pages 699-717, December.
    4. M. Hashem Pesaran & Larry W. Taylor, 1999. "Diagnostics for IV Regressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(2), pages 255-281, May.

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    Keywords

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    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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