¿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.
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