Medel, Carlos A. (2012): ¿Akaike o Schwarz? ¿Cuál elegir para predecir el PIB chileno?

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Abstract
Schwarz. In this paper I evaluate the predictive ability of the Akaike and Schwarz information criteria using autoregressive integrated moving average models, with sectoral data of Chilean GDP. In terms of root mean square error, and after the estimation of more than a million models, the results indicate that —on average— the models based on the Schwarz criterion perform better than those selected with the Akaike, for the four horizons analyzed. Furthermore, the statistical significance of these differences indicates that the superiority in favor of the Schwarz criterion holds mainly at higher horizo
Item Type:  MPRA Paper 

Original Title:  ¿Akaike o Schwarz? ¿Cuál elegir para predecir el PIB chileno? 
English Title:  Akaike or Schwarz? Which One is a Better Predictor of Chilean GDP? 
Language:  Spanish 
Keywords:  information criteria; data mining; forecasting; ARIMA 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C13  Estimation: General C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C53  Forecasting and Prediction Methods ; Simulation Methods C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C52  Model Evaluation, Validation, and Selection C  Mathematical and Quantitative Methods > C2  Single Equation Models ; Single Variables > C22  TimeSeries Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes 
Item ID:  35950 
Depositing User:  Carlos A. Medel 
Date Deposited:  16. Jan 2012 10:42 
Last Modified:  12. Feb 2013 01:25 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/35950 