| Document Type
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BL
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| Record Number
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877062
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| Main Entry
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Hendry, David F.
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| Title & Author
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Empirical model discovery and theory evaluation : : automatic selection methods in econometrics /\ David F. Hendry and Jurgen A. Doornik.
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| Publication Statement
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Cambridge, Massachusetts ;London, England :: The MIT Press,, [2014]
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, ©2014
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| Series Statement
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Arne Ryde Memorial Lectures Series
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| Page. NO
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1 online resource (xxviii, 358 pages) :: illustrations, tables, graphs, charts
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| ISBN
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0262324415
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: 1306957869
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: 9780262324410
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: 9781306957861
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0262028352
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9780262028356
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| Notes
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"Arne Ryde Memorial Lectures Series."
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| Bibliographies/Indexes
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Includes bibliographical references (pages 317-341) and indexes.
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| Contents
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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.
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| Abstract
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A synthesis of the authors' groundbreaking econometric research on automatic model selection, which uses powerful computational algorithms and theory evaluation.
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| Subject
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Econometrics-- Computer programs.
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| Subject
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Econometrics-- Methodology.
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| Subject
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BUSINESS ECONOMICS-- Econometrics.
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| Subject
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BUSINESS ECONOMICS-- Economics-- General.
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| Subject
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BUSINESS ECONOMICS-- Reference.
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| Subject
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Econometrics-- Computer programs.
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| Subject
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Econometrics-- Methodology.
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| Dewey Classification
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330.01/5195
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| LC Classification
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HB139.H454 2014eb
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| Added Entry
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Doornik, Jurgen A.
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