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A note on model selection in (time series) regression models - General-to-specific or specific-to-general?

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  • Herwartz, Helmut

Abstract

The paper provides Monte Carlo evidence on the performance of general-to-specific and specific-to-general selection of explanatory variables in linear (auto)regressions. In small samples the former is markedly inefficient in terms of ex-ante forecasting performance.

Suggested Citation

  • Herwartz, Helmut, 2007. "A note on model selection in (time series) regression models - General-to-specific or specific-to-general?," Economics Working Papers 2007-09, Christian-Albrechts-University of Kiel, Department of Economics.
    • Handle: RePEc:zbw:cauewp:5537
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    References listed on IDEAS

    as
    1. Hendry, David F, 1980. "Econometrics-Alchemy or Science?," Economica, London School of Economics and Political Science, vol. 47(188), pages 387-406, November.
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    More about this item

    Keywords

    Model selection; specification testing; Lagrange multiplier tests;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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