¿Akaike o Schwarz? ¿Cuál elegir para Predecir el PIB Chileno?
Schwarz. In this paper I evaluate the predictive ability of the Akaike and Schwarz information criteria using autoregressive integrated moving average models, with sectoral data of Chilean GDP. In terms of root mean square error, and after the estimation of more than a million models, the results indicate that —on average— the models based on the Schwarz criterion perform better than those selected with the Akaike, for the four horizons analyzed. Furthermore, the statistical significance of these differences indicates that the superiority in favor of the Schwarz criterion holds mainly at higher horizons.
|Date of creation:||Jan 2012|
|Contact details of provider:|| Postal: Casilla No967, Santiago|
Phone: (562) 670 2000
Fax: (562) 698 4847
Web page: http://www.bcentral.cl/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Raffaella Giacomini & Halbert White, 2006.
"Tests of Conditional Predictive Ability,"
Econometric Society, vol. 74(6), pages 1545-1578, November.
- Raffaella Giacomini & Halbert White, 2003. "Tests of conditional predictive ability," Boston College Working Papers in Economics 572, Boston College Department of Economics.
- Giacomini, Raffaella & White, Halbert, 2003. "Tests of Conditional Predictive Ability," University of California at San Diego, Economics Working Paper Series qt5jk0j5jh, Department of Economics, UC San Diego.
- Raffaella Giacomini & Halbert White, 2003. "Tests of Conditional Predictive Ability," Econometrics 0308001, EconWPA.
- Todd E. Clark, 2004. "Can out-of-sample forecast comparisons help prevent overfitting?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(2), pages 115-139.
- Todd E. Clark, 2000. "Can out-of-sample forecast comparisons help prevent overfitting?," Research Working Paper RWP 00-05, Federal Reserve Bank of Kansas City.
- Sin, Chor-Yiu & White, Halbert, 1996. "Information criteria for selecting possibly misspecified parametric models," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 207-225.
- Geweke, John & Meese, Richard, 1981. "Estimating regression models of finite but unknown order," Journal of Econometrics, Elsevier, vol. 16(1), pages 162-162, May.
- Geweke, John F & Meese, Richard, 1981. "Estimating Regression Models of Finite but Unknown Order," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 22(1), pages 55-70, February.
- Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
- Melard, G. & Pasteels, J. -M., 2000. "Automatic ARIMA modeling including interventions, using time series expert software," International Journal of Forecasting, Elsevier, vol. 16(4), pages 497-508.
- Carlos A. Medel, 2013. "How informative are in-sample information criteria to forecasting? The case of Chilean GDP," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 50(1), pages 133-161, May.
- Carlos Medel, 2012. "How Informative are In–Sample Information Criteria to Forecasting? The Case of Chilean GDP," Working Papers Central Bank of Chile 657, Central Bank of Chile.
- Medel, Carlos A., 2012. "How informative are in-sample information criteria to forecasting? the case of Chilean GDP," MPRA Paper 35949, University Library of Munich, Germany.
- Pablo Pincheira Brown & Álvaro García Marín, 2009. "Forecasting Inflation in Chile With an Accurate Benchmark," Working Papers Central Bank of Chile 514, Central Bank of Chile.
- Marcus Cobb, 2009. "Forecasting Chilean Inflation From Disaggregate Components," Working Papers Central Bank of Chile 545, Central Bank of Chile.
- Nishii, R., 1988. "Maximum likelihood principle and model selection when the true model is unspecified," Journal of Multivariate Analysis, Elsevier, vol. 27(2), pages 392-403, November.
- Yi, Gang & Judge, George, 1988. "Statistical model selection criteria," Economics Letters, Elsevier, vol. 28(1), pages 47-51.
- Nickelsburg, Gerald, 1985. "Small-sample properties of dimensionality statistics for fitting VAR models to aggregate economic data : A Monte Carlo study," Journal of Econometrics, Elsevier, vol. 28(2), pages 183-192, May.
- Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 33(1), pages 125-132.
- Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-708, May.
- Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers 0055, National Bureau of Economic Research, Inc.
- Granger, Clive W. J. & King, Maxwell L. & White, Halbert, 1995. "Comments on testing economic theories and the use of model selection criteria," Journal of Econometrics, Elsevier, vol. 67(1), pages 173-187, May.
- Kilian, Lutz, 2001. "Impulse Response Analysis in Vector Autoregressions with Unknown Lag Order," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(3), pages 161-179, April.
- Amemiya, Takeshi, 1980. "Selection of Regressors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(2), pages 331-354, June.
- Poskitt, D.S., 1994. "A Note on Autoregressive Modeling," Econometric Theory, Cambridge University Press, vol. 10(05), pages 884-899, December.
- Guy Melard & Jean-Michel Pasteels, 2000. "Automatic ARIMA modeling including interventions, using time series expert software," ULB Institutional Repository 2013/13744, ULB -- Universite Libre de Bruxelles.
- Sawa, Takamitsu, 1978. "Information Criteria for Discriminating among Alternative Regression Models," Econometrica, Econometric Society, vol. 46(6), pages 1273-1291, November. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:chb:bcchwp:658. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Claudio Sepulveda)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.