Structural Identification Method of Simultaneous Equations Systems
نویسنده
چکیده
The objective of this paper is to develop the method for selection of the optimal structure of simultaneous equation system from the given model set in the condition of the limited sample of observations. The identification purpose is the model selection with the best predictive possibility. The information criteria for selecting the best model of nonlinear simultaneous equation system from the given models set are offered. The selection properties of these criteria are investigated by MonteCarlo simulations. Copyright 2002 IFAC.
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