Last week, my research group discussed Galit Shmueli’s paper “To explain or to predict?”, Statistical Science, 25(3), 289-310. (See her website for further materials.) This is a paper everyone doing statistics and econometrics should read as it helps to clarify a distinction that is often blurred. In the discussion, the following issues were covered amongst other things. The AIC is better suited to model selection for prediction as it is asymptotically equivalent to leave-one-out cross-validation in regression, or one-step-cross-validation in time …