Journal article
Selecting Regressors for Prediction Using PRESS and White t Statistics
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.
Authors
Magee L; Veall MR
Journal
Journal of Business and Economic Statistics, Vol. 9, No. 1, pp. 91–96
Publisher
Taylor & Francis
Publication Date
January 1991
DOI
10.1080/07350015.1991.10509830
ISSN
0735-0015