An R2criterion based on optimal predictors

Larry Taylor

Econometric Reviews, 1997, vol. 16, issue 1, 109-118

Abstract: The predictor that minimizes mean-squared prediction error is used to derive a goodness-of-fit measure that offers an asymptotically valid model selection criterion for a wide variety of regression models. In particular, a new goodness-of-fit criterion (cr2) is proposed for censored or otherwise limited dependent variables. The new goodness-of-fit measure is then applied to the analysis of duration.

Keywords: goodness-of-fit; optimal predictor; nonlinear; multivariate; instrumental variables; deration; JET Classification Numbers: C50; C52; C41 (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (5)

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DOI: 10.1080/07474939708800375

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