Bibliograph

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

Type

Label

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

Language

eng

Bibliography note

Includes bibliographical references (pages 317-341) and index

Illustrations

illustrations

Index

index present

Literary Form

non fiction

Main title

Empirical model discovery and theory evaluation

Nature of contents

bibliography

Oclc number

878501859

Responsibility statement

David F. Hendry and Jurgen A. Doornik

Series statement

Arne Ryde memorial lectures

Sub title

automatic selection methods in econometrics

Table Of 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

Contributor