The Optimal Prediction Simultaneous Equations Selection

Alexander Gorobets ()
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Alexander Gorobets: Sevastopol National Technical University

Economics Bulletin, 2005, vol. 3, issue 36, 1-8

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. They show that the structural form of system can outperform its reduced form for making predictions.

Keywords: criteria (search for similar items in EconPapers)
JEL-codes: C3 C5 (search for similar items in EconPapers)
Date: 2005-07-26
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Citations: View citations in EconPapers (2)

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