Resource title

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

Resource image

image for OpenScout resource :: A note on model selection in (time series) regression models - General-to-specific or specific-to-general?

Resource description

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.

Resource author

Helmut Herwartz

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/22025

Resource license

Adapt according to the presented license agreement and reference the original author.