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

Helmut Herwartz

No 2007-09, Economics Working Papers from Christian-Albrechts-University of Kiel, Department of Economics

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.

Keywords: Model selection; specification testing; Lagrange multiplier tests (search for similar items in EconPapers)
JEL-codes: C22 C51 (search for similar items in EconPapers)
Date: 2007
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-for
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:cauewp:5537

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