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Alexander Gorobets
''The Optimal Prediction Simultaneous Equations Selection''
( 2005, Vol. 3 No.36 )
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.
Keywords: criteria
C5 - Econometric Modeling: General
Manuscript Received : Jul 23 2005 Manuscript Accepted : Jul 26 2005

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