Choosing a Model and Strategy of Model Selection by Accumulated Prediction Error
DOI:
https://doi.org/10.12775/DEM.2010.009Keywords
model selection, meta-selection, information criteria, accumulative prediction errorAbstract
The purpose of the paper is to present and apply the accumulative one-step-ahead prediction error (APE) not only as a method (strategy) of model selection, but also as a tool of model selection strategy (meta-selection). The APE method is compared with the information approach to model selection (AIC and BIC information criteria), supported by empirical examples. Obtained results indicated that the APE method may be of considerable practical importance.
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