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Author
Piłatowska Mariola (Uniwersytet Mikołaja Kopernika w Toruniu)
Title
Skumulowany błąd prognoz jako metoda wyboru modelu
Accumulative Prediction Error as a Method of Model Selection
Source
Acta Universitatis Nicolai Copernici. Ekonomia, 2010, t. 41, s. 43-56, rys., tab., bibliogr. 23 poz.
Keyword
Modele ekonometryczne, Prognozy ekonometryczne, Analiza wielokryterialna
Econometric models, Econometric forecasts, Multicriteria analysis
Note
streszcz., summ.
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 narzędzia 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)

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)
Accessibility
The Main Library of Poznań University of Economics and Business
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Bibliography
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ISSN
2080-0339
Language
pol
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