| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3874 |
| DP3874 The Response of the Informal Sector to Trade Liberalization | |
| Pinelopi Goldberg; Nina Pavcnik | |
| 发表日期 | 2003-04-23 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | It is standard in applied work to select forecasting models by ranking candidate models by their prediction mean squared error (PMSE) in simulated out-of-sample (SOOS) forecasts. Alternatively, forecast models may be selected using information criteria (IC). We compare the asymptotic and finite-sample properties of these methods in terms of their ability to mimimize the true out-of-sample PMSE, allowing for possible misspecification of the forecast models under consideration. We first study a covariance stationary environment. We show that under suitable conditions the IC method will be consistent for the best approximating model among the candidate models. In contrast, under standard assumptions the SOOS method will select over-parameterized models with positive probability, resulting in excessive finite-sample PMSEs. We also show that in the presence of unmodelled structural change both methods will be inadmissible in the sense that they may select a model with strictly higher PMSE than the best approximating model among the candidate models. |
| 主题 | International Macroeconomics |
| 关键词 | Forecast accuracy Model selection Structural change Information criteria Simulated out-of-sample method |
| URL | https://cepr.org/publications/dp3874 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532858 |
| 推荐引用方式 GB/T 7714 | Pinelopi Goldberg,Nina Pavcnik. DP3874 The Response of the Informal Sector to Trade Liberalization. 2003. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
