Empirical model discovery and theory evaluation : automatic selection methods in econometrics /
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Main Authors: | |
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Group Author: | |
Published: |
The MIT Press,
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Publisher Address: | Cambridge, Massachusetts : |
Publication Dates: | [2014] |
Literature type: | Book |
Language: | English |
Series: |
Arne Ryde memorial lectures
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Subjects: | |
Carrier Form: | xxviii, 358 pages : illustrations ; 24 cm. |
Bibliography: | Includes bibliographical references and index. |
ISBN: | 9780262028356 (hardcover : alkaline paper) : |
Index Number: | HB139 |
CLC: | F224.0 |
Call Number: | F224.0/H498 |
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. |