Selecting Regressors for Prediction Using PRESS and White t Statistics |
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| Authors: | Lonnie Magee Michael R. Veall |
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| Affiliation: | Department of Economics , McMaster University , Hamilton , Ontario , L8S 4M4 , Canada |
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| Abstract: | It is shown that selecting regressors based on the prediction error sum of squares is asymptotically related to hypothesis testing with White's (1980) heteroscedasticity-consistent covariance matrix. A simulation experiment suggests that this asymptotic relation may be useful. Illustrative examples are also given. |
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| Keywords: | Specification Testing down Variable selection |
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