This paper suggests using a unit t-value criterion in imposing restrictions on lags to formulate a subset vector autoregressive (VAR) model for the purpose of point forecasts. Among any other alternative models nested to the initial VAR model, this less restrictive modeling strategy produces the...

According to the Sharpe-Lintner capital asset pricing model, expected rates of return on individual stocks differ only because of their different levels of non-diversifiable risk (beta). However, Fama/French (1992) show that the two variables size and book-to-market ratio capture the...

Social scientists often consider multiple empirical models of the same process. When these models are parametric and non-nested, the null hypothesis that two models fit the data equally well is commonly tested using methods introduced by Vuong (Econometrica 57(2):307–333, <CitationRef CitationID="CR30">1989</CitationRef>) and Clarke (Am...</citationref>

According to the Sharpe-Lintner capital asset pricing model, expected rates of return on individual stocks differ only because of their different levels of non-diversifiable risk (beta). However, Fama/French (1992) show that the two variables size and book-to-market ratio capture the...

In Perez-Amaral, Gallo, and White (2003), the authors proposed an automatic predictive modelling tool called Relevant Transformation of the Inputs Network Approach (RETINA). It is designed to embody flexibility (using nonlinear transformations of the predictors of interest), selective search...