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| Alexander Gorobets |
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| ''The Optimal Prediction Simultaneous Equations Selection'' |
| ( 2005, Vol. 3 No.36 ) |
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| 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. They show that the structural form of system can outperform its reduced form for making predictions. |
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| Keywords: criteria |
JEL:
C5 - Econometric Modeling: General |
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| Manuscript Received : Jul 23 2005 | | Manuscript Accepted : Jul 26 2005 |
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