Empirical model discovery and theory evaluation automatic selection methods in econometrics David F. Hendry y Jurgen A. Doornik
Idioma: Inglés Series Arne Ryde memorial lecturesDetalles de publicación: Londres (Inglaterra) The MITPress 2014Descripción: xxviii, 358 Páginas ilustraciones, gráficas y tablasISBN:- 0262028352
- 9780262028356
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Incluye referencias bibliográficas e índices
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.