Mean squared errors of forecast for selecting nonnested linear models and comparison with other criteria

DOI10.1016/0304-4076(91)90039-GMaRDI QIDQ1174643zbMATHFDO

Authors Hiroki Tsurumi, Hajime Wago

Publication date 25 June 1992

Published in Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

model selectionAICsampling distributionquadratic formsAkaike's information criterionnonnested linear modelsdegenerate hypergeometric functiondistribution of MSEFEfron's confidence intervalmean squared error of forecastsampling experimentssmallest posterior meantables of empirical probabilities of correct selection

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Bayesian inference (62F15) Linear regression; mixed models (62J05) Generalized linear models (logistic models) (62J12)

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Cites work

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• Some Comments on C P
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Cited in

(2)

• scientific article; zbMATH DE number 5258494 (Why is no real title available?)
• Determining the MSE-optimal cross section to forecast

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