@techreport{Herwartz2007note,
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.},
author = {Helmut Herwartz},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {C22; C51; 330; Model selection; specification testing; Lagrange multiplier tests},
language = {eng},
number = {2007,09},
title = {A note on model selection in (time series) regression models - General-to-specific or specific-to-general?},
type = {Economics working paper / Christian-Albrechts-Universit\"{a}t Kiel, Department of Economics},
url = {http://hdl.handle.net/10419/22025},
year = {2007}
}
