Economics, Econometrics and Finance
5 years ago

New method selects best models for more accurate economic predictions!

Econometric Theory
RELEVANT MOMENT SELECTION UNDER MIXED IDENTIFICATION STRENGTH
Prosper Dovonon, Firmin Doko Tchatoka, Michael Aguessy

Paper Summary

A new method was developed to choose the best model even when dealing with complex data. The method considers how fast the model's parameters are estimated and how spread out the estimates are. This new method outperformed the previous one in simulations.

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