Econometrics Model Selection PDF Download
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Author | : Antonio Aznar Grasa |
Publisher | : Springer Science & Business Media |
Total Pages | : 265 |
Release | : 2013-03-09 |
Genre | : Business & Economics |
ISBN | : 9401713588 |
Download Econometric Model Selection Book in PDF, ePub and Kindle
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.
Author | : M. Ishaq Bhatti |
Publisher | : Routledge |
Total Pages | : 286 |
Release | : 2017-03-02 |
Genre | : Business & Economics |
ISBN | : 135194195X |
Download Econometric Analysis of Model Selection and Model Testing Book in PDF, ePub and Kindle
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.
Author | : Allan D. R. McQuarrie |
Publisher | : World Scientific |
Total Pages | : 479 |
Release | : 1998 |
Genre | : Mathematics |
ISBN | : 9812385452 |
Download Regression and Time Series Model Selection Book in PDF, ePub and Kindle
This important book describes procedures for selecting a model from a large set of competing statistical models. It includes model selection techniques for univariate and multivariate regression models, univariate and multivariate autoregressive models, nonparametric (including wavelets) and semiparametric regression models, and quasi-likelihood and robust regression models. Information-based model selection criteria are discussed, and small sample and asymptotic properties are presented. The book also provides examples and large scale simulation studies comparing the performances of information-based model selection criteria, bootstrapping, and cross-validation selection methods over a wide range of models.
Author | : Allan D. R. McQuarrie |
Publisher | : World Scientific |
Total Pages | : 479 |
Release | : 1998 |
Genre | : Mathematics |
ISBN | : 981023242X |
Download Regression and Time Series Model Selection Book in PDF, ePub and Kindle
This important book describes procedures for selecting a model from a large set of competing statistical models. It includes model selection techniques for univariate and multivariate regression models, univariate and multivariate autoregressive models, nonparametric (including wavelets) and semiparametric regression models, and quasi-likelihood and robust regression models. Information-based model selection criteria are discussed, and small sample and asymptotic properties are presented. The book also provides examples and large scale simulation studies comparing the performances of information-based model selection criteria, bootstrapping, and cross-validation selection methods over a wide range of models.
Author | : Gerda Claeskens |
Publisher | : |
Total Pages | : 312 |
Release | : 2008-07-28 |
Genre | : Mathematics |
ISBN | : 9780521852258 |
Download Model Selection and Model Averaging Book in PDF, ePub and Kindle
First book to synthesize the research and practice from the active field of model selection.
Author | : |
Publisher | : |
Total Pages | : 494 |
Release | : 1980 |
Genre | : Econometric models |
ISBN | : |
Download The Theory of Econometric Model Selection Book in PDF, ePub and Kindle
Author | : David F. Hendry |
Publisher | : MIT Press |
Total Pages | : 387 |
Release | : 2014-07-04 |
Genre | : Business & Economics |
ISBN | : 0262324423 |
Download Empirical Model Discovery and Theory Evaluation Book in PDF, ePub and Kindle
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.
Author | : David F. Hendry |
Publisher | : Princeton University Press |
Total Pages | : 378 |
Release | : 2012-06-21 |
Genre | : Business & Economics |
ISBN | : 1400845653 |
Download Econometric Modeling Book in PDF, ePub and Kindle
Econometric Modeling provides a new and stimulating introduction to econometrics, focusing on modeling. The key issue confronting empirical economics is to establish sustainable relationships that are both supported by data and interpretable from economic theory. The unified likelihood-based approach of this book gives students the required statistical foundations of estimation and inference, and leads to a thorough understanding of econometric techniques. David Hendry and Bent Nielsen introduce modeling for a range of situations, including binary data sets, multiple regression, and cointegrated systems. In each setting, a statistical model is constructed to explain the observed variation in the data, with estimation and inference based on the likelihood function. Substantive issues are always addressed, showing how both statistical and economic assumptions can be tested and empirical results interpreted. Important empirical problems such as structural breaks, forecasting, and model selection are covered, and Monte Carlo simulation is explained and applied. Econometric Modeling is a self-contained introduction for advanced undergraduate or graduate students. Throughout, data illustrate and motivate the approach, and are available for computer-based teaching. Technical issues from probability theory and statistical theory are introduced only as needed. Nevertheless, the approach is rigorous, emphasizing the coherent formulation, estimation, and evaluation of econometric models relevant for empirical research.
Author | : Christian Gourieroux |
Publisher | : Cambridge University Press |
Total Pages | : 544 |
Release | : 1995-10-26 |
Genre | : Business & Economics |
ISBN | : 9780521471626 |
Download Statistics and Econometric Models: Volume 2, Testing, Confidence Regions, Model Selection and Asymptotic Theory Book in PDF, ePub and Kindle
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.
Author | : L. Anselin |
Publisher | : Springer Science & Business Media |
Total Pages | : 295 |
Release | : 2013-03-09 |
Genre | : Business & Economics |
ISBN | : 9401577994 |
Download Spatial Econometrics: Methods and Models Book in PDF, ePub and Kindle
Spatial econometrics deals with spatial dependence and spatial heterogeneity, critical aspects of the data used by regional scientists. These characteristics may cause standard econometric techniques to become inappropriate. In this book, I combine several recent research results to construct a comprehensive approach to the incorporation of spatial effects in econometrics. My primary focus is to demonstrate how these spatial effects can be considered as special cases of general frameworks in standard econometrics, and to outline how they necessitate a separate set of methods and techniques, encompassed within the field of spatial econometrics. My viewpoint differs from that taken in the discussion of spatial autocorrelation in spatial statistics - e.g., most recently by Cliff and Ord (1981) and Upton and Fingleton (1985) - in that I am mostly concerned with the relevance of spatial effects on model specification, estimation and other inference, in what I caIl a model-driven approach, as opposed to a data-driven approach in spatial statistics. I attempt to combine a rigorous econometric perspective with a comprehensive treatment of methodological issues in spatial analysis.