An R2criterion based on optimal predictors

The predictor that minimizes mean-squared prediction error is used to derive a goodness-of-fit measure that offers an asymptotically valid model selection criterion for a wide variety of regression models. In particular, a new goodness-of-fit criterion (cr2) is proposed for censored or otherwise limited dependent variables. The new goodness-of-fit measure is then applied to the analysis of duration.goodness-of-fit, optimal predictor, nonlinear, multivariate, instrumental variables, deration, JET Classification Numbers: C50, C52, C41,