I am currently modelizing the price of real-estate in France. I chose three type of models : an arima, an mce, a var ... i of course fitted them in the best way possible thourgh the usual prodecure (box-jenkins and such) ... NOW
I am (killing myself trying) to identify and index that would allow me to select the best model.
Currently reading the Model Selection and Multimodel Inference: A Practical Information- Theoretic Approach, Second Edition by Burnham & Anderson
but i get the feeling that this metric (AIC) is used to select "a model" ... well this is the issue actually. I am not trying to select the best model amongst (ie) different regressions (same instrument) ... but the best model between different instruments (arima, var, mce)
I of course can identify it graphically but i need to have a metric ?
Currently researching the AIC, BIC, HQ, RMSE, MAE, MAPE and studying the general Kullback et Leibler distance
but i have an issue whenever the litteratre states " selecting amongst differents models " ... because i have to select among different "instruments"
NB : i KNOW i'm not making any sense right now.