Modelling Methodology and Forecast Failure.
We analyse by simulation the impact of model-selection strategies (sometimes called pre-testing) on forecast performance in both constant- and non-constant-parameter processes. Restricted, unrestricted and selected models are compared when either of the first two might generate the data. We find lit...
| Main Authors: | , |
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| Formato: | Journal article |
| Idioma: | English |
| Publicado em: |
2002
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