Abstract
In the context of the prediction error method for one step ahead prediction in a single time series, a conventional and two cross-validatory procedures are proposed for prediction of squared prediction errors, and also for choosing among several predictor families. These procedures are compared in a simulation study. The conventional procedure appears to perform at least as well as the cross-validatory procedures.
This research was carried out when the author was at the Institute of Econometrics of the University of Groningen.
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© 1988 Springer-Verlag Berlin Heidelberg
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Snijders, T.A.B. (1988). On Cross-Validation for Predictor Evaluation in Time Series. In: Dijkstra, T.K. (eds) On Model Uncertainty and its Statistical Implications. Lecture Notes in Economics and Mathematical Systems, vol 307. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-61564-1_4
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DOI: https://doi.org/10.1007/978-3-642-61564-1_4
Publisher Name: Springer, Berlin, Heidelberg
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