EconStor >
Christian-Albrechts-Universität Kiel (CAU) >
Department of Economics, Universität Kiel  >
Economics Working Papers, Department of Economics, CAU Kiel >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/22025
  
Title:A note on model selection in (time series) regression models - General-to-specific or specific-to-general? PDF Logo
Authors:Herwartz, Helmut
Issue Date:2007
Series/Report no.:Economics working paper / Christian-Albrechts-Universität Kiel, Department of Economics 2007,09
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.
Subjects:Model selection
specification testing
Lagrange multiplier tests
JEL:C22
C51
Document Type:Working Paper
Appears in Collections:Economics Working Papers, Department of Economics, CAU Kiel

Files in This Item:
File Description SizeFormat
EWP-2007-09.pdf345.71 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/22025

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.