Empirical model discovery and theory evaluation : automatic selection methods in econometrics / David F. Hendry and Jurgen A. Doornik.

Format:

Book

Author/Creator:

Hendry, David F., author.

Doornik, Jurgen A., author.

Series:

Arne Ryde memorial lectures

Language:

English

Subjects (All):

Econometrics--Computer programs.

Econometrics.

Econometrics--Methodology.

Physical Description:

xxviii, 358 pages ; 24 cm.

Place of Publication:

Cambridge, Massachusetts : MIT Press, [2014]

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.

Notes:

Includes bibliographical references and index.

ISBN:

9780262028356

0262028352

OCLC:

878501859