Munich Personal RePEc Archive

On a Testing Procedure for Model Selection

Panaretos, John and Psarakis, Stelios (1991): On a Testing Procedure for Model Selection. Published in: Proceedings of the 48th Session of the International Statistical Institute, Cairo (1991): pp. 513-514.

[img]
Preview
PDF
MPRA_paper_6260.pdf

Download (229kB) | Preview

Abstract

In this paper a forecasting model selection scheme is considered which amounts to testing the predictive behaviour of a model by adopting Xekalaki and Katti's (1984) idea of assigning to its performance a score for each of a series of time points. The score reflects how close to, or how far from, the predictive value the observed actual value is. A statistical test is proposed for comparing the forecasting performances of two models

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.