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On a Testing Procedure for Model Selection

Panaretos, John et al.
Munich Personal RePEc Archive · Reports
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In this paper a forecasting model selection scheme is considered which amounts to testing the predictive behaviour of a model by adopting Xekalaki and Katti's (1984) idea of assigning to its performance a score for each of a series of time points. The score reflects how close to, or how far from, th
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