Testing for Model Selection in Predicting Aggregate Variables

Giacomo Sbrana

Giornale degli Economisti, 2007, vol. 66, issue 1, 3-28

Abstract: This paper focuses on the choice between aggregate and disaggregate models, consisting of both univariate and multivariate specifications, in predicting aggregate variables. A formal hypothesis testing procedure for in-sample model selection is suggested. The empirical size and power of the test are investigated via the use of Monte Carlo simulations. Empirical results show that the test has good performance not only when the competitive models are non-nested specifications, but also when considering nested competitors.

Keywords: aggregation; model evaluation and selection; hypothesis testing; Monte Carlo simulation (search for similar items in EconPapers)
JEL-codes: C12 C15 C43 C52 (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (1)

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