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Specification search in nonlinear time-series models using the genetic algorithm

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  • Beenstock, Michael
  • Szpiro, George

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 26 (2002)
Issue (Month): 5 (May)
Pages: 811-835

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Handle: RePEc:eee:dyncon:v:26:y:2002:i:5:p:811-835

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Web page: http://www.elsevier.com/locate/jedc

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References

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  1. Dawid, Herbert, 1999. "On the convergence of genetic learning in a double auction market," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1545-1567, September.
  2. Clive Granger & Allan Timmermann, 1999. "Data mining with local model specification uncertainty: a discussion of Hoover and Perez," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 220-225.
  3. Beenstock, Michael & Haitovsky, Yoel, 2001. "Lottomania and other anomalies in the market for lotto," Journal of Economic Psychology, Elsevier, vol. 22(6), pages 721-744, December.
  4. Kevin D. Hoover & Stephen J. Perez, 1999. "Data mining reconsidered: encompassing and the general-to-specific approach to specification search," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 167-191.
  5. Dorsey, Robert E & Mayer, Walter J, 1995. "Genetic Algorithms for Estimation Problems with Multiple Optima, Nondifferentiability, and Other Irregular Features," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 53-66, January.
  6. Halbert White, 2000. "A Reality Check for Data Snooping," Econometrica, Econometric Society, vol. 68(5), pages 1097-1126, September.
  7. Davidson, Russell & MacKinnon, James G, 1981. "Several Tests for Model Specification in the Presence of Alternative Hypotheses," Econometrica, Econometric Society, vol. 49(3), pages 781-93, May.
  8. Beenstock, Michael & Goldin, Ephraim & Haitovsky, Yoel, 2000. "What jackpot? The optimal lottery tax," European Journal of Political Economy, Elsevier, vol. 16(4), pages 655-671, November.
  9. Farley, Arthur M & Jones, Samuel, 1994. "Using a Genetic Algorithm to Determine an Index of Leading Economic Indicators," Computational Economics, Society for Computational Economics, vol. 7(3), pages 163-73.
  10. Varetto, Franco, 1998. "Genetic algorithms applications in the analysis of insolvency risk," Journal of Banking & Finance, Elsevier, vol. 22(10-11), pages 1421-1439, October.
  11. Mizon, Grayham E & Richard, Jean-Francois, 1986. "The Encompassing Principle and Its Application to Testing Non-nested Hypotheses," Econometrica, Econometric Society, vol. 54(3), pages 657-78, May.
  12. Szpiro, George G, 1997. "A Search for Hidden Relationships: Data Mining with Genetic Algorithms," Computational Economics, Society for Computational Economics, vol. 10(3), pages 267-77, August.
  13. Miller, John H., 1996. "The coevolution of automata in the repeated Prisoner's Dilemma," Journal of Economic Behavior & Organization, Elsevier, vol. 29(1), pages 87-112, January.
  14. Schmertmann, Carl P, 1996. "Functional Search in Economics Using Genetic Programming," Computational Economics, Society for Computational Economics, vol. 9(4), pages 275-98, November.
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Citations

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Cited by:
  1. Mariano Matilla-Garcia & Carlos Arguello, 2005. "A hybrid approach based on neural networks and genetic algorithms to the study of profitability in the Spanish Stock Market," Applied Economics Letters, Taylor & Francis Journals, vol. 12(5), pages 303-308.
  2. Victor Aguirregabiria & Pedro Mira, 2013. "Identification of Games of Incomplete Information with Multiple Equilibria and Common Unobserved Heterogeneity," Working Papers tecipa-474, University of Toronto, Department of Economics.
  3. Marcos Álvarez-Díaz & Alberto Álvarez, 2003. "Predicción No-Lineal De Tipos De Cambio: Algoritmos Genéticos, Redes Neuronales Y Fusión De Datos," Working Papers 0301, Universidade de Vigo, Departamento de Economía Aplicada.
  4. Mariano Matilla-Garcia, 2005. "A note on cointegrated relationships estimated with genetic algorithms," Applied Economics Letters, Taylor & Francis Journals, vol. 12(4), pages 235-238.
  5. Álvarez Díaz, Marcos & González Gómez, Manuel & Saavedra González, Ángeles & De Uña Álvarez, Jacobo, 2010. "On dichotomous choice contingent valuation data analysis: Semiparametric methods and Genetic Programming," Journal of Forest Economics, Elsevier, vol. 16(2), pages 145-156, April.
  6. Mariano Matilla-Garcia, 2006. "Are trading rules based on genetic algorithms profitable?," Applied Economics Letters, Taylor & Francis Journals, vol. 13(2), pages 123-126.
  7. Marcos Álvarez-Díaz & Alberto Álvarez, 2002. "Predicción No-Lineal De Tipos De Cambio: Algoritmos Genéticos, Redes Neuronales Y Fusión De Datos," Working Papers 0205, Universidade de Vigo, Departamento de Economía Aplicada.

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