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Empirical model discovery and theory evaluation : automatic selection methods in econometrics

Author: David F Hendry; Jurgen A Doornik
Publisher: Cambridge, Massachusetts : The MIT Press, [2014]
Series: Arne Ryde memorial lectures
Edition/Format:   Print book : EnglishView all editions and formats
Summary:

A synthesis of the authors' groundbreaking econometric research on automatic model selection, which uses powerful computational algorithms and theory evaluation.

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Document Type: Book
All Authors / Contributors: David F Hendry; Jurgen A Doornik
ISBN: 9780262028356 0262028352
OCLC Number: 907568819
Notes: Comprend des index.
Description: xxviii, 358 pages ; 24 cm.
Contents: About the arne ryde foundation --
Preface --
Acknowledgments --
Glossary --
Data and software --
Principles of model selection --
Introduction --
Discovery --
Background to automatic model selection --
Empirical modeling illustrated --
Evaluating model selection --
The theory of reduction --
General-to-specific modeling --
Model selection theory and performance --
Selecting a model in one decision --
The 2-variable dgp --
Bias correcting selection effects --
Comparisons of 1-cut selection with autometrics --
Impact of diagnostic tests --
Role of encompassing --
Retaining a theory model during selection --
Detecting outliers and breaks using iis --
Re-modeling uk real consumers' expenditure --
Comparisons of autometrics with other approaches --
Model selection in underspecied settings --
Extensions of automatic model selection --
More variables than observations --
Impulse-indicator saturation for multiple breaks --
Selecting non-linear models --
Testing super exogeneity --
Selecting forecasting models --
Epilogue --
References --
Author index --
Index
Series Title: Arne Ryde memorial lectures
Responsibility: David F. Hendry and Jurgen A. Doornik.
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