Research Article
Model and Variable Selection Procedures for Semiparametric Time Series Regression
Table 3
Means (standard deviations) of first step ahead prediction errors.
| | | | | | |
| | | | | | | PLS | BIC | 0.136 (0.115) | 0.150 (0.116) | 0.140 (0.120) | 0.158 (0.117) | | GIC | 0.111 (0.088) | 0.127 (0.097) | 0.134 (0.098) | 0.149 (0.122) | | BIC | 0.111 (0.088) | 0.127 (0.097) | 0.131 (0.095) | 0.149 (0.122) | PLS + HT | BIC | 0.121 (0.096) | 0.106 (0.086) | 0.119 (0.092) | 0.139 (0.112) | | GIC | 0.094 (0.071) | 0.118 (0.093) | 0.126 (0.094) | 0.139 (0.112) | | BIC | 0.095 (0.071) | 0.116 (0.092) | 0.124 (0.093) | 0.139 (0.112) |
| | | | | | | PLS | BIC | 0.101 (0.086) | 0.105 (0.082) | 0.130 (0.112) | 0.145 (0.124) | | GIC | 0.090 (0.070) | 0.101 (0.078) | 0.105 (0.082) | 0.137 (0.109) | | BIC | 0.091 (0.070) | 0.096 (0.072) | 0.105 (0.092) | 0.137 (0.109) | PLS + HT | BIC | 0.097 (0.082) | 0.096 (0.078) | 0.098 (0.088) | 0.140 (0.162) | | GIC | 0.084 (0.063) | 0.091 (0.071) | 0.103 (0.081) | 0.130 (0.111) | | BIC | 0.084 (0.063) | 0.091 (0.071) | 0.103 (0.081) | 0.130 (0.111) |
| | | | | | | PLS | BIC | 0.091 (0.070) | 0.105 (0.081) | 0.114 (0.087) | 0.174 (0.129) | | GIC | 0.087 (0.068) | 0.095 (0.072) | 0.102 (0.077) | 0.139 (0.114) | | BIC | 0.086 (0.068) | 0.095 (0.072) | 0.102 (0.077) | 0.139 (0.114) | PLS + HT | BIC | 0.084 (0.066) | 0.090 (0.069) | 0.091 (0.068) | 0.123 (0.096) | | GIC | 0.083 (0.063) | 0.090 (0.069) | 0.098 (0.076) | 0.126 (0.100) | | BIC | 0.082 (0.063) | 0.092 (0.070) | 0.098 (0.076) | 0.126 (0.100) |
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