Empirical model discovery and theory evaluation : automatic selection methods in econometrics /
Hendry, David F.,author.
Doornik, Jurgen A.,author.
A synthesis of the authors' groundbreaking econometric research on automatic model selection, which uses powerful computational algorithms and theory evaluation.
Includes bibliographical references and indexes.
"Arne Ryde Memorial Lectures Series."
A synthesis of the authors' groundbreaking econometric research on automatic model selection, which uses powerful computational algorithms and theory evaluation.
OCLC-licensed vendor bibliographic record.
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.
Econometrics
Econometrics
ECONOMICS/General