On a Testing Procedure for Model Selection

John Panaretos and Stelios Psarakis

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper a forecasting model selection scheme is considered which amounts to testing the predictive behaviour of a model by adopting Xekalaki and Katti's (1984) idea of assigning to its performance a score for each of a series of time points. The score reflects how close to, or how far from, the predictive value the observed actual value is. A statistical test is proposed for comparing the forecasting performances of two models

JEL-codes: C1 (search for similar items in EconPapers)
Date: 1991
References: Add references at CitEc
Citations:

Published in Proceedings of the 48th Session of the International Statistical Institute, Cairo (1991): pp. 513-514

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/6260/1/MPRA_paper_6260.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:6260

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().