Selecting Regressors for Prediction Using PRESS and White t Statistics

Lonnie Magee () and Michael Veall

Journal of Business & Economic Statistics, 1991, vol. 9, issue 1, 91-96

Abstract: It is shown that selecting regressors based on the prediction error sum of squares is asymptotically related to hypothesis testing with White's (1980) heteroscedasticity-consistent covariance matrix. A simulation experiment suggest that this asymptotic relation may be useful. Illustrative examples are also given.

Date: 1991
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