Econometric Model Selection
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Econometric Model Selection
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Author : Antonio Aznar Grasa
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-09
Econometric Model Selection written by Antonio Aznar Grasa and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-03-09 with Business & Economics categories.
This book proposes a new methodology for the selection of one (model) from among a set of alternative econometric models. Let us recall that a model is an abstract representation of reality which brings out what is relevant to a particular economic issue. An econometric model is also an analytical characterization of the joint probability distribution of some random variables of interest, which yields some information on how the actual economy works. This information will be useful only if it is accurate and precise; that is, the information must be far from ambiguous and close to what we observe in the real world Thus, model selection should be performed on the basis of statistics which summarize the degree of accuracy and precision of each model. A model is accurate if it predicts right; it is precise if it produces tight confidence intervals. A first general approach to model selection includes those procedures based on both characteristics, precision and accuracy. A particularly interesting example of this approach is that of Hildebrand, Laing and Rosenthal (1980). See also Hendry and Richard (1982). A second general approach includes those procedures that use only one of the two dimensions to discriminate among models. In general, most of the tests we are going to examine correspond to this category.
Econometric Analysis Of Model Selection And Model Testing
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Author : M. Ishaq Bhatti
language : en
Publisher: Routledge
Release Date : 2017-03-02
Econometric Analysis Of Model Selection And Model Testing written by M. Ishaq Bhatti and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-03-02 with Business & Economics categories.
In recent years econometricians have examined the problems of diagnostic testing, specification testing, semiparametric estimation and model selection. In addition researchers have considered whether to use model testing and model selection procedures to decide the models that best fit a particular dataset. This book explores both issues with application to various regression models, including the arbitrage pricing theory models. It is ideal as a reference for statistical sciences postgraduate students, academic researchers and policy makers in understanding the current status of model building and testing techniques.
The Theory Of Econometric Model Selection
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Author :
language : en
Publisher:
Release Date : 1980
The Theory Of Econometric Model Selection written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1980 with Econometric models categories.
Statistics And Econometric Models
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Author : Christian Gourieroux
language : en
Publisher: Cambridge University Press
Release Date : 1995-10-26
Statistics And Econometric Models written by Christian Gourieroux and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995-10-26 with Business & Economics categories.
This two-volume work aims to present as completely as possible the methods of statistical inference with special reference to their economic applications. The reader will find a description not only of the classical concepts and results of mathematical statistics, but also of concepts and methods recently developed for the specific needs of econometrics. The authors have sought to avoid an overly technical presentation and go to some lengths to encourage an intuitive understanding of the results by providing numerous examples throughout. The breadth of approaches and the extensive coverage of the two volumes provide for a thorough and entirely self-contained course in modern econometrics. Volume 1 provides an introduction to general concepts and methods in statistics and econometrics, and goes on to cover estimation and prediction. Volume 2 focuses on testing, confidence regions, model selection, and asymptotic theory.
Statistics And Econometric Models Volume 2 Testing Confidence Regions Model Selection And Asymptotic Theory
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Author : Christian Gourieroux
language : en
Publisher: Cambridge University Press
Release Date : 1995-10-26
Statistics And Econometric Models Volume 2 Testing Confidence Regions Model Selection And Asymptotic Theory written by Christian Gourieroux and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995-10-26 with Business & Economics categories.
This two-volume work aims to present as completely as possible the methods of statistical inference with special reference to their economic applications. The reader will find a description not only of the classical concepts and results of mathematical statistics, but also of concepts and methods recently developed for the specific needs of econometrics. The authors have sought to avoid an overly technical presentation and go to some lengths to encourage an intuitive understanding of the results by providing numerous examples throughout. The breadth of approaches and the extensive coverage of the two volumes provide for a thorough and entirely self-contained course in modern econometrics. Volume 1 provides an introduction to general concepts and methods in statistics and econometrics, and goes on to cover estimation and prediction. Volume 2 focuses on testing, confidence regions, model selection, and asymptotic theory.
Empirical Model Discovery And Theory Evaluation
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Author : David F. Hendry
language : en
Publisher: MIT Press
Release Date : 2014-07-03
Empirical Model Discovery And Theory Evaluation written by David F. Hendry and has been published by MIT Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-07-03 with Business & Economics categories.
A synthesis of the authors' groundbreaking econometric research on automatic model selection, which uses powerful computational algorithms and theory evaluation. Economic models of empirical phenomena are developed for a variety of reasons, the most obvious of which is the numerical characterization of available evidence, in a suitably parsimonious form. Another is to test a theory, or evaluate it against the evidence; still another is to forecast future outcomes. Building such models involves a multitude of decisions, and the large number of features that need to be taken into account can overwhelm the researcher. Automatic model selection, which draws on recent advances in computation and search algorithms, can create, and then empirically investigate, a vastly wider range of possibilities than even the greatest expert. In this book, leading econometricians David Hendry and Jurgen Doornik report on their several decades of innovative research on automatic model selection. After introducing the principles of empirical model discovery and the role of model selection, Hendry and Doornik outline the stages of developing a viable model of a complicated evolving process. They discuss the discovery stages in detail, considering both the theory of model selection and the performance of several algorithms. They describe extensions to tackling outliers and multiple breaks, leading to the general case of more candidate variables than observations. Finally, they briefly consider selecting models specifically for forecasting.
Model Occurrence And Model Selection In Panel Data Sets
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Author : Dale J. Poirier
language : en
Publisher: University of Toronto, Institute for Policy Analysis
Release Date : 1978
Model Occurrence And Model Selection In Panel Data Sets written by Dale J. Poirier and has been published by University of Toronto, Institute for Policy Analysis this book supported file pdf, txt, epub, kindle and other format this book has been release on 1978 with Econometrics categories.
Responses Of Various Econometric Models To Selected Policy Shocks
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Author : Brian O'Reilly
language : en
Publisher:
Release Date : 1983
Responses Of Various Econometric Models To Selected Policy Shocks written by Brian O'Reilly and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1983 with Canada categories.
Econometric Model Selection Procedures With Application To Money Demand
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Author : Abdulla Ahmed Mansoor
language : en
Publisher:
Release Date : 1986
Econometric Model Selection Procedures With Application To Money Demand written by Abdulla Ahmed Mansoor and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1986 with Demand for money categories.
Econometric Model Selection In Perspective
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Author : K. R. Sawyer
language : en
Publisher:
Release Date : 1981
Econometric Model Selection In Perspective written by K. R. Sawyer and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1981 with Econometric models categories.