Screen LibraryEmpirical 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. |