Publisher's Synopsis
Excerpt from Selection of Econometric Models With Out-of-Sample Data
Knowing that a statistic tends to choose the best model is often not enough. Instead, it is desirable to know whether two competing models are significantly different in terms of their quality. This note provides a family of tests related to this question. In particular three null hypotheses are shown to be testable. These are that two models have the same kli, that they have the same mean squared prediction error and that they have the same mean absolute prediction error. It must be noted that the mean squared error criterion for model selection has been recently advocated by Dutta (1980)
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