An R²criterion based on optimal predictors

Abstract

Abstract: The predictor that minimizes mean-squared prediction error is used to derive a goodness-of-fit measure that offers an asymptotically valid model selection criterion for a wide variety of regression models. In particular, a new goodness-of-fit criterion (cr²) is proposed for censored or otherwise limited dependent variables. The new goodness-of-fit measure is then applied to the analysis of duration.

Keywords:

• goodness-of-fit
• optimal predictor
• nonlinear
• multivariate
• instrumental variables
• deration
• JET Classification Numbers: C50, C52, C41