¿Akaike o Schwarz? ¿Cuál elegir para predecir el PIB chileno?
[Akaike or Schwarz? Which One is a Better Predictor of Chilean GDP?]
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 horizo
|Date of creation:||14 Jan 2012|
|Date of revision:|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
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.:
- 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.
- 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.
- 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.
- Sawa, Takamitsu, 1978. "Information Criteria for Discriminating among Alternative Regression Models," Econometrica, Econometric Society, vol. 46(6), pages 1273-91, November.
- 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.
- 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.
- 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 703-08, 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.
- 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.
- Marcus Cobb, 2009. "Forecasting Chilean Inflation From Disaggregate Components," Working Papers Central Bank of Chile 545, Central Bank of Chile.
- 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.
- Kilian, Lutz, 2001. "Impulse Response Analysis in Vector Autoregressions with Unknown Lag Order," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(3), pages 161-79, April.
- 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.
- 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.
- 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 331-54, June.
- 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.
- 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.
- 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 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.
- Geweke, John & Meese, Richard, 1981. "Estimating regression models of finite but unknown order," Journal of Econometrics, Elsevier, vol. 16(1), pages 162-162, May.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:35950. 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: (Joachim Winter)
If references are entirely missing, you can add them using this form.