Choosing a Model and Strategy of Model Selection by Accumulated Prediction Error

• Autorzy: Mariola Piłatowska

Warianty tytułu

Wybór modelu i strategii selekcji modelu za pomocą skumulowanego błędu predykcji

• Języki publikacji: EN

Abstrakty

EN

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. (original abstract)

Celem artykułu jest prezentacja i wykorzystanie skumulowanego błędu prognoz na jeden okres naprzód (APE) nie tylko jako metody (strategii) wyboru modelu, ale również jako narzędzie do wyboru samej strategii (meta-wybór). Na przykładach empirycznych metoda APE jest porównywana z metodami wykorzystującymi kryteria informacyjne (AIC i BIC). Otrzymane wyniki wskazują na dużą praktyczną przydatność metody APE. (abstrakt oryginalny)

Słowa kluczowe

EN

Forecasting; Measuring errors; Information

PL

Prognozowanie; Błędy pomiarowe; Informacja

• Czasopismo: Dynamic Econometric Models
• Rocznik: 2010
• Tom: 10
• Strony: 107--119

Twórcy

autor

Mariola Piłatowska

• Nicolaus Copernicus University in Toruń, Poland

Bibliografia

• Aitchison, J., Dunsmore, I. R. (1975), Statistical Prediction Analysis, Cambridge University Press, Cambridge.
• Akaike, H. (1973), Information Theory and an Extension of the Maximum Likelihood Principle, [in:] Petrov B. N., Csaki F., Second International Symposium on Information Theory, Kiado Academy, Budapest.
• Burnham, K. P., Anderson, D. R. (2002), Model Selection and Multimodel Inference, Springer
• Christiano, L. J., Eichenbaum, M. (1990), Unit Roots in Real GNP: Do We Know and Do We Care?, Carnegie-Rochester Conference Series on Public Policy, no. 32, 7-61.
• Clarke, B. (2001), Combining Model Selection Procedures for Online Prediction, Sahkhya: The Indian Journal of Statistics, 63, series A, 229-249.
• Dawid, A. P. (1984), Statistical Theory: the Prequential Approach, Journal of Royal Statistical Society Series B, 147, 278-292.
• De Luna, X., Skouras, K. (2003), Choosing a Model Selection Strategy, Scandinavian Journal of Statistics, 30, 113-128.
• Diebold, F. X., Senhadji, A. (1996), Deterministic vs. Stochastic Trend in U.S. GNP. Yet again, NBER Working Papers, nr 5481.
• Haubrich, J. G., Lo, A. W. (2001), The Source and Nature of Long-Term Memory in Aggregate Output, Federal Reserve Bank of Cleveland "Economic Review", QII, 15-30.
• Maddison, A. (2001), The World Economy - a Millennial Perspective, OECD Development Centre, Paris.
• Murray, C., Nelson, C. (1998), The Uncertain Trend in U.S. GNP, Discussion Papers in Economics at the University of Washington, nr 0074.
• Myung, I. J., Pitt, M. A. (1997), Applying Occam's Razor in Modeling Cognition: A Bayesian approach, Psychonomic Bulletin and Review, 4, 79-95.
• Nelson, C. R. , Plosser, C. I. (1982), Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications, Journal of Monetary Economics, 10(2), 139-162.
• Perron, P., Phillips, P. C. B. (1987), Does GNP Have a Unit Root?, Economics Letters, 23, 129-145.
• Piłatowska, M. (2009), Prognozy kombinowane z wykorzystaniem wag Akaike'a (Combined Forecasts Using Akaike Weights), Acta Universitatis Nicolai Copernici, Ekonomia, XXXIX, 51-62.
• Piłatowska, M. (2010), Kryteria informacyjne w wyborze modelu ekonometrycznego (Information Criteria in Model Selection), Studia i Prace Uniwersytetu Ekonomicznego w Krakowie, 25-37.
• Quah, D. (1987), What do we Learn from Unit Roots in Macroeconomic Series?, NBER Working Papers, nr 2450.
• Rissanen, J. (2003), Complexity of Simple Nonlogarithmic Loss Function, IEEE Transactions on Information Theory, 49, 476-484.
• Rudebusch, G. D. (1993), The Uncertain Unit Root in Real GNP, American Economic Review, 83(1), 264-272.
• Shao, J. (1997), An Asymptotic Theory for Linear Model Selection, Statistica Sinica, 7, 221-264.
• Skouras, K., Dawid, A. P. (1998), On Efficient Point Prediction Systems, Journal of Royal Statistical Society B, 60, 765-780.
• Sugiura, N. (1978), Further Analysis of the Data by Akaike's Information Criterion and the Finite Corrections, Communications in Statistics, Theory and Methods, A7, 13-26.
• Stock, J., Watson, M. (1986), Does GNP Have a Unit Root?, Economics Letters, 22(2/3), 147-151.
• Wagenmaker, E-J., Grünwald, P., Steyvers, M. (2006), Accumulative Prediction Error and the Selection of Time Series Models, Journal of Mathematical Psychology, 50, 149-166.

Identyfikatory

DOI

10.12775/DEM.2010.009