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A Note on Model Selection in (Time Series) Regression Models - General-to-Specific or Specific-to-General?

Опубликовано на портале: 26-11-2007
Economics Working Papers of Department of Economics and Business, Universitat Pompeu Fabra. 2007.  No. 2007-09.
Тематический раздел:
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.

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