Model selection and prediction: Normal regression
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DOI: 10.1007/BF00773667
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References listed on IDEAS
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- Ching-Kang Ing, 2005. "Accumulated Prediction Errors, Information Criteria And Optimal Forecasting For Autoregressive Time Series," Econometrics 0503020, University Library of Munich, Germany.
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- Ching-Kang Ing & Chiao-Yi Yang, 2014. "Predictor Selection for Positive Autoregressive Processes," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 109(505), pages 243-253, March.
- Ng, Serena, 2013. "Variable Selection in Predictive Regressions," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 752-789, Elsevier.
- Schorfheide, Frank, 2005. "VAR forecasting under misspecification," Journal of Econometrics, Elsevier, vol. 128(1), pages 99-136, September.
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Keywords
Model selection; prediction lower bound; accumulated prediction error (APE); AIC; BIC; FPE; stochastic complexity; overfit and underfit probability;All these keywords.
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