¿Akaike o Schwarz? ¿Cuál elegir para predecir el PIB chileno?

Akaike or Schwarz? Which One is a Better Predictor of Chilean GDP?

Carlos A. Medel ()

MPRA Paper from University Library of Munich, Germany

Abstract: Schwarz. In this paper I evaluate the predictive ability of the Akaike and Schwarz information criteria using autoregressive integrated moving average models, with sectoral data of Chilean GDP. In terms of root mean square error, and after the estimation of more than a million models, the results indicate that —on average— the models based on the Schwarz criterion perform better than those selected with the Akaike, for the four horizons analyzed. Furthermore, the statistical significance of these differences indicates that the superiority in favor of the Schwarz criterion holds mainly at higher horizo

Keywords: information criteria; data mining; forecasting; ARIMA (search for similar items in EconPapers)
JEL-codes: C13 C22 C52 C53 (search for similar items in EconPapers)
Date: 2012-01-14
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Working Paper: ¿Akaike o Schwarz? ¿Cuál elegir para Predecir el PIB Chileno? (2012)
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