Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/22025
Authors: 
Herwartz, Helmut
Year of Publication: 
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

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