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A note on model selection in (time series) regression models - General-to-specific or specific-to-general?

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  • Herwartz, Helmut

Abstract

The paper provides Monte Carlo evidence on the performance of general-to-specific and specific-to-general selection of explanatory variables in linear (auto)regressions. In small samples the former is markedly inefficient in terms of ex-ante forecasting performance.

Suggested Citation

  • Herwartz, Helmut, 2007. "A note on model selection in (time series) regression models - General-to-specific or specific-to-general?," Economics Working Papers 2007-09, Christian-Albrechts-University of Kiel, Department of Economics.
    • Handle: RePEc:zbw:cauewp:5537
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    File URL: https://www.econstor.eu/bitstream/10419/22025/1/EWP-2007-09.pdf
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    1. repec:bla:econom:v:47:y:1980:i:188:p:387-406 is not listed on IDEAS
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    More about this item

    Keywords

    Model selection; specification testing; Lagrange multiplier tests;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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