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Christian-Albrechts-Universität zu Kiel

Institut für Volkswirtschaftslehre - Department of Economics
Economics Working Papers

Economics Working Papers: Abstract 2007-09


Nummer

2007-09

Autoren

Helmut Herwartz

 

Titel

 

A note on model selection in (time series) regression models - General-to-specific or specific-to-general?
Abstract 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.

Keywords: Model selection, specification testing, Lagrange multiplier tests.

JEL classification: C22,C51

 

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