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The Optimal Prediction Simultaneous Equations Selection

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  • Gorobets, A.

Abstract

This paper presents a method for selection of the optimal simultaneous equation system from a set of nested models under the condition of a small sample. The purpose of selection is to identify a model with the best prognostic possibilities. Multivariate AIC, BIC and AICC are used as the selection criteria. The selection properties of this method are investigated by Monte-Carlo simulations.

Suggested Citation

  • Gorobets, A., 2004. "The Optimal Prediction Simultaneous Equations Selection," ERIM Report Series Research in Management ERS-2003-023-ORG, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    • Handle: RePEc:ems:eureri:1839
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    File URL: https://repub.eur.nl/pub/1839/ERS%202003%20024%20ORG.pdf
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    References listed on IDEAS

    as
    1. Brown, Bryan W, 1983. "The Identification Problem in Systems Nonlinear in the Variables," Econometrica, Econometric Society, vol. 51(1), pages 175-196, January.
    2. Bozdogan, Hamparsum & Haughton, Dominique M. A., 1998. "Informational complexity criteria for regression models," Computational Statistics & Data Analysis, Elsevier, vol. 28(1), pages 51-76, July.
    3. P. Shi & C‐L. Tsai, 1998. "A note on the unification of the Akaike information criterion," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 60(3), pages 551-558.
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    Cited by:

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    More about this item

    Keywords

    criteria; selection; simulation; simultaneous equations;
    All these keywords.

    JEL classification:

    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
    • L2 - Industrial Organization - - Firm Objectives, Organization, and Behavior
    • M - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics
    • M10 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration - - - General
    • M12 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration - - - Personnel Management; Executives; Executive Compensation

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