Abstract #302001

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JSM 2002 Abstract #302001
Activity Number: 323
Type: Luncheons
Date/Time: Wednesday, August 14, 2002 : 12:30 PM to 1:50 PM
Sponsor: Business & Economics Statistics Section*
Abstract - #302001
Title: Model Selection for Time Series
Author(s): David Findley*+
Affiliation(s): U.S. Census Bureau
Address: 4600 Silver Hill Road, Washington, District of Columbia, 20233-9100, U.S.A.
Keywords:
Abstract:

Many of the modern methods of model comparison, e.g. AIC, BIC, MDL, cross-validation, Vuong tests, have been applied successfully in time series modeling, sometimes after appropriate generalization from the independent data setting. Those related to out-of-sample forecast performance seem particularly natural. We can discuss applications and recent theoretical results that suggest new possibilities.

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Revised March 2002