An R2criterion based on optimal predictors

DOI10.1080/07474939708800375zbMath0892.62036OpenAlexW1981942802MaRDI QIDQ4355148

Larry W. Taylor

Publication date: 16 August 1998

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939708800375

zbMATH Keywords

nonlineargoodness-of-fitdurationinstrumental variablesoptimal predictormultivariatemean-squared prediction error

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) General nonlinear regression (62J02)

Cites Work

• Unnamed Item
• A pseudo-\(R^ 2\) measure for limited and qualitative dependent variable models
• Coefficients of correlation for simultaneous equation systems
• Relative Entropy Measures of Multivariate Dependence
• A Generalized R^2 Criterion for Regression Models Estimated by the Instrumental Variables Method
• A compendium to information theory in economics and econometrics
• Stochastic complexity and the mdl principle

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