The Optimal Prediction Simultaneous Equations Selection

Alexander Gorobets

ERIM Report Series Research in Management from Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam

Abstract: This paper presents a method for selection of the optimal simultaneous equation system from a set of nested models under the condition of a small sample. The purpose of selection is to identify a model with the best prognostic possibilities. Multivariate AIC, BIC and AICC are used as the selection criteria. The selection properties of this method are investigated by Monte-Carlo simulations.

Keywords: criteria; selection; simulation; simultaneous equations (search for similar items in EconPapers)
JEL-codes: C30 L2 M M10 M12 (search for similar items in EconPapers)
Date: 2004-01-01
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Citations: View citations in EconPapers (1)

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