Econometric 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 | : |
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 | : 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 | : 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 | : Dale J. Poirier |
Publisher | : University of Toronto, Institute for Policy Analysis |
Total Pages | : 38 |
Release | : 1978 |
Genre | : Econometrics |
ISBN | : |
Download Model Occurrence and Model Selection in Panel Data Sets Book in PDF, ePub and Kindle
Author | : Jeffrey M. Wooldridge |
Publisher | : MIT Press |
Total Pages | : 1095 |
Release | : 2010-10-01 |
Genre | : Business & Economics |
ISBN | : 0262232588 |
Download Econometric Analysis of Cross Section and Panel Data, second edition Book in PDF, ePub and Kindle
The second edition of a comprehensive state-of-the-art graduate level text on microeconometric methods, substantially revised and updated. The second edition of this acclaimed graduate text provides a unified treatment of two methods used in contemporary econometric research, cross section and data panel methods. By focusing on assumptions that can be given behavioral content, the book maintains an appropriate level of rigor while emphasizing intuitive thinking. The analysis covers both linear and nonlinear models, including models with dynamics and/or individual heterogeneity. In addition to general estimation frameworks (particular methods of moments and maximum likelihood), specific linear and nonlinear methods are covered in detail, including probit and logit models and their multivariate, Tobit models, models for count data, censored and missing data schemes, causal (or treatment) effects, and duration analysis. Econometric Analysis of Cross Section and Panel Data was the first graduate econometrics text to focus on microeconomic data structures, allowing assumptions to be separated into population and sampling assumptions. This second edition has been substantially updated and revised. Improvements include a broader class of models for missing data problems; more detailed treatment of cluster problems, an important topic for empirical researchers; expanded discussion of "generalized instrumental variables" (GIV) estimation; new coverage (based on the author's own recent research) of inverse probability weighting; a more complete framework for estimating treatment effects with panel data, and a firmly established link between econometric approaches to nonlinear panel data and the "generalized estimating equation" literature popular in statistics and other fields. New attention is given to explaining when particular econometric methods can be applied; the goal is not only to tell readers what does work, but why certain "obvious" procedures do not. The numerous included exercises, both theoretical and computer-based, allow the reader to extend methods covered in the text and discover new insights.
Author | : Jan Kmenta |
Publisher | : Academic Press |
Total Pages | : 425 |
Release | : 2014-05-10 |
Genre | : Business & Economics |
ISBN | : 1483267342 |
Download Evaluation of Econometric Models Book in PDF, ePub and Kindle
Evaluation of Econometric Models presents approaches to assessing and enhancing the progress of applied economic research. This book discusses the problems and issues in evaluating econometric models, use of exploratory methods in economic analysis, and model construction and evaluation when theoretical knowledge is scarce. The data analysis by partial least squares, prediction analysis of economic models, and aggregation and disaggregation of nonlinear equations are also elaborated. This text likewise covers the comparison of econometric models by optimal control techniques, role of time series analysis in econometric model evaluation, and hypothesis testing in spectral regression. Other topics include the relevance of laboratory experiments to testing resource allocation theory and token economy and animal models for the experimental analysis of economic behavior. This publication is intended for students and researchers interested in evaluating econometric models.
Author | : Julia Campos |
Publisher | : |
Total Pages | : 666 |
Release | : 2005 |
Genre | : Econometric models |
ISBN | : |
Download General-to-specific Modelling Book in PDF, ePub and Kindle
"This paper discusses the econometric methodology of general-to-specific modeling, in which the modeler simplifies an initially general model that adequately characterizes the empirical evidence within his or her theoretical framework. Central aspects of this approach include the theory of reduction, dynamic specification, model selection procedures, model selection criteria, model comparison, encompassing, computer automation, and empirical implementation. This paper thus reviews the theory of reduction, summarizes the approach of general-to-specific modeling, and discusses the econometrics of model selection, noting that general-to-specific modeling is the practical embodiment of reduction. This paper then summarizes fifty-seven articles key to the development of general-to-specific modeling"--Federal Reserve Board web site.
Author | : Jeffrey Racine |
Publisher | : Oxford University Press |
Total Pages | : 562 |
Release | : 2014-04 |
Genre | : Business & Economics |
ISBN | : 0199857946 |
Download The Oxford Handbook of Applied Nonparametric and Semiparametric Econometrics and Statistics Book in PDF, ePub and Kindle
This volume, edited by Jeffrey Racine, Liangjun Su, and Aman Ullah, contains the latest research on nonparametric and semiparametric econometrics and statistics. Chapters by leading international econometricians and statisticians highlight the interface between econometrics and statistical methods for nonparametric and semiparametric procedures.