Prediction by Regression in Multivariate Normal Distributions
13 Pages Posted: 11 Feb 2011
Date Written: February 8, 2011
In the context of the multivariate Normal regression model, a mean squared error of prediction is developed for making the choice of subset of explanatory variables for predicting the response variable in future samples.
Keywords: Regression, Prediction, Mean Squared Error, Subset Regression
JEL Classification: C13, C44, C52
Suggested Citation: Suggested Citation