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

Author/creator Hendry, David F.
Other author Doornik, Jurgen A.
Format Electronic
Publication InfoCambridge, MA : MIT Press, [2014].
Descriptionxxviii, 358 pages : illustrations ; 23 cm.
Supplemental ContentFull text available from MIT Press Direct to Open Backfile HSS Monographs
Subjects
Econometrics--Computer programs.
Econometrics--Methodology.

SeriesArne Ryde memorial lectures
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.
Bibliography noteIncludes bibliographical references (pages 317-341) and index.
Access restrictionAvailable only to authorized users.
Technical detailsMode of access: World Wide Web
Genre/formElectronic books.
LCCN 2014012464
ISBN9780262028356 (hardcover : alk. paper)

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