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Encompassing and Automatic Model Selection

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  • Jurgen A. Doornik

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Bibliographic Info

Article provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics and Statistics.

Volume (Year): 70 (2008)
Issue (Month): s1 (December)
Pages: 915-925

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Handle: RePEc:bla:obuest:v:70:y:2008:i:s1:p:915-925

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Cited by:
  1. Neil Ericsson & Erica Reisman, 2012. "Evaluating a Global Vector Autoregression for Forecasting," International Advances in Economic Research, Springer, vol. 18(3), pages 247-258, August.
  2. González, Andrés & Hubrich, Kirstin & Teräsvirta, Timo, 2011. "Forecasting inflation with gradual regime shifts and exogenous information," Working Paper Series 1363, European Central Bank.
  3. Anders Bredahl Kock & Timo Teräsvirta, 2010. "Forecasting with nonlinear time series models," CREATES Research Papers 2010-01, School of Economics and Management, University of Aarhus.
  4. Castle, Jennifer L. & Doornik, Jurgen A. & Hendry, David F., 2012. "Model selection when there are multiple breaks," Journal of Econometrics, Elsevier, vol. 169(2), pages 239-246.
  5. David Hendry & Felix Pretis, 2011. "Anthropogenic Influences on Atmospheric CO2," Economics Series Working Papers 584, University of Oxford, Department of Economics.
  6. Anna Norin, 2011. "Nowcasting of the Gross Regional Product," ERSA conference papers ersa10p768, European Regional Science Association.
  7. Durevall, Dick & Loening, Josef L. & Ayalew Birru, Yohannes, 2013. "Inflation dynamics and food prices in Ethiopia," Journal of Development Economics, Elsevier, vol. 104(C), pages 89-106.
  8. Jennifer Castle & David Hendry, 2010. "Automatic Selection for Non-linear Models," Economics Series Working Papers 473, University of Oxford, Department of Economics.
  9. David Hendry & Soren Johansen, 2012. "Model Discovery and Trygve Haavelmo's Legacy," Economics Series Working Papers 598, University of Oxford, Department of Economics.
  10. Alvaro Escribano & Genaro Sucarrat, 2011. "Automated model selection in finance: General-to-speci c modelling of the mean and volatility speci cations," Working Papers 2011-09, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
  11. Jennifer Castle & David Hendry, 2013. "Forecasting and Nowcasting Macroeconomic Variables: A Methodological Overview," Economics Series Working Papers 674, University of Oxford, Department of Economics.
  12. Andrew B. Martinez, 2011. "Comparing Government Forecasts of the United States’ Gross Federal Debt," Working Papers 2011-002, The George Washington University, Department of Economics, Research Program on Forecasting.

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