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Citations for "The Properties of Automatic Gets Modelling"

by David Hendry & Hans-Martin Krolzig

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  1. Hans-Martin Krolzig, 2003. "General-to-Specific Model Selection Procedures for Structural Vector Autoregressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 769-801, December.
  2. DUo Qin & Yimeng Liu, 2013. "Modelling Scale Effect in Crosssection Data:The Case of Hedonic Price Regression," Working Papers, Department of Economics, SOAS, University of London, UK 184, Department of Economics, SOAS, University of London, UK.
  3. Steve Lawford & Michalis P. Stamatogiannis, 2008. "The Finite-Sample E ects of VAR Dimensions on OLS Bias, OLS Variance, and Minimum MSE Estimators," Working Paper Series, The Rimini Centre for Economic Analysis 13-08, The Rimini Centre for Economic Analysis, revised Jan 2008.
  4. Hassler, Uwe, 2010. "Testing regression coefficients after model selection through sign restrictions," Economics Letters, Elsevier, Elsevier, vol. 107(2), pages 220-223, May.
  5. Ulaşan, Bülent, 2011. "Cross-country growth empirics and model uncertainty: An overview," Economics Discussion Papers 2011-37, Kiel Institute for the World Economy.
  6. Yongfu Huang, 2005. "What determines financial development?," Bristol Economics Discussion Papers 05/580, Department of Economics, University of Bristol, UK.
  7. David F. Hendry & Søren Johansen, 2011. "The Properties of Model Selection when Retaining Theory Variables," CREATES Research Papers 2011-36, School of Economics and Management, University of Aarhus.
  8. Stephan B. Bruns, 2013. "Identifying Genuine Effects in Observational Research by Means of Meta-Regressions," Jena Economic Research Papers, Friedrich-Schiller-University Jena, Max-Planck-Institute of Economics 2013-040, Friedrich-Schiller-University Jena, Max-Planck-Institute of Economics.
  9. David Hendry & Hans-Martin Krolzig, 2003. "Sub-Sample Model Selection Procedures in Gets Modelling," Economics Series Working Papers 2003-W17, University of Oxford, Department of Economics.
  10. Ivan Savin, 2013. "A Comparative Study of the Lasso-type and Heuristic Model Selection Methods," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 233(4), pages 526-549, July.
  11. Jennifer Castle & David Hendry, 2007. "Forecasting UK Inflation: the Roles of Structural Breaks and Time Disaggregation," Economics Series Working Papers 309, University of Oxford, Department of Economics.
  12. Genaro Sucarrat & Alvaro Escribano, 2009. "Automated financial multi-path GETS modelling," Economics Working Papers we093620, Universidad Carlos III, Departamento de Economía.
  13. Neil R. Ericsson & Erica L. Reisman, 2012. "Evaluating a global vector autoregression for forecasting," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 1056, Board of Governors of the Federal Reserve System (U.S.).
  14. David F. Hendry & Hans-Martin Krolzig, 2004. "We Ran One Regression," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(5), pages 799-810, December.
  15. Camila Epprecht & Dominique Guegan & Álvaro Veiga, 2013. "Comparing variable selection techniques for linear regression: LASSO and Autometrics," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00917797, HAL.
  16. António Afonso, & Michael G. Arghyrou, & George Bagdatoglou, & Alexandros Kontonikas, 2013. "On the time-varying relationship between EMU sovereign spreads and their determinants," Working Papers Department of Economics, ISEG - School of Economics and Management, Department of Economics, University of Lisbon 2013/05, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
  17. Kornstad, Tom & Nymoen, Ragnar & Skjerpen, Terje, 2012. "Macroeconomic Shocks and the Probability of Being Employed," Memorandum, Oslo University, Department of Economics 03/2012, Oslo University, Department of Economics.
  18. Peter Jensen, 2010. "Testing the null of a low dimensional growth model," Empirical Economics, Springer, Springer, vol. 38(1), pages 193-215, February.
  19. R. Grafton & Tom Kompas & P. Owen, 2007. "Bridging the barriers: knowledge connections, productivity and capital accumulation," Journal of Productivity Analysis, Springer, Springer, vol. 28(3), pages 219-231, December.
  20. Antonio Ciccone & Marek Jarocinski, 2007. "Determinants of economic growth: Will data tell?," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra 1052, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 2009.
  21. Neil R. Ericsson & Steven B. Kamin, 2008. "Constructive data mining: modeling Argentine broad money demand," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 943, Board of Governors of the Federal Reserve System (U.S.).
  22. Marçal, Emerson Fernandes, 2013. "Exchange rate misalignments, interdependence, crises, and currency wars: an empirical assessment," Textos para discussão 348, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  23. Luc Bauwens & Genaro Sucarrat, 2008. "General to specific modelling of exchange rate volatility : a forecast evaluation," Economics Working Papers we081810, Universidad Carlos III, Departamento de Economía.
  24. Søren Johansen & Bent Nielsen, 2013. "Outlier Detection in Regression Using an Iterated One-Step Approximation to the Huber-Skip Estimator," Econometrics, MDPI, Open Access Journal, vol. 1(1), pages 53-70, May.
  25. Scheibe, Jörg & Vines, David, 2005. "A Phillips Curve for China," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4957, C.E.P.R. Discussion Papers.
  26. Søren Johansen & Bent Nielsen, 2011. "Asymptotic theory for iterated one-step Huber-skip estimators," Discussion Papers 11-29, University of Copenhagen. Department of Economics.
  27. Geert Bekaert & Michael Ehrmann & Marcel Fratzscher & Arnaud Mehl, 2014. "The Global Crisis and Equity Market Contagion," Discussion Papers of DIW Berlin 1352, DIW Berlin, German Institute for Economic Research.
  28. Barrera, Carlos, 2013. "El sistema de predicción desagregada: Una evaluación de las proyecciones de inflación 2006-2011," Working Papers, Banco Central de Reserva del Perú 2013-009, Banco Central de Reserva del Perú.
  29. Reinhold Heinlein & Hans-Martin Krolzig, 2011. "Effects of monetary policy on the $/£ exchange rate. Is there a 'delayed overshooting puzzle'?," Studies in Economics, Department of Economics, University of Kent 1124, Department of Economics, University of Kent.
  30. Sánchez-Fung, José R., 2008. "The day-to-day interbank market, volatility, and central bank intervention in a developing economy," MPRA Paper 15648, University Library of Munich, Germany.
  31. David F. Hendry & Søren Johansen & Carlos Santos, 2007. "Selecting a Regression Saturated by Indicators," Discussion Papers 07-26, University of Copenhagen. Department of Economics.
  32. Coulibaly, Issiaka & Gnimassoun, Blaise, 2013. "Optimality of a monetary union: New evidence from exchange rate misalignments in West Africa," Economic Modelling, Elsevier, Elsevier, vol. 32(C), pages 463-482.
  33. Søren Johansen & Bent Nielsen, 2010. "Discussion of The Forward Search: Theory and Data Analysis by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli," Economics Papers 2010-W02, Economics Group, Nuffield College, University of Oxford.
  34. Ivan Savin & Peter Winker, 2012. "Heuristic Optimization Methods for Dynamic Panel Data Model Selection: Application on the Russian Innovative Performance," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 39(4), pages 337-363, April.
  35. Kock, Anders Bredahl & Teräsvirta, Timo, 2014. "Forecasting performances of three automated modelling techniques during the economic crisis 2007–2009," International Journal of Forecasting, Elsevier, Elsevier, vol. 30(3), pages 616-631.
  36. David Colander & Hans Föllmer & Armin Haas & Michael Goldberg & Katarina Juselius & Alan Kirman & Thomas Lux & Brigitte Sloth, 2009. "The Financial Crisis and the Systemic Failure of Academic Economics," Kiel Working Papers 1489, Kiel Institute for the World Economy.
  37. Ferreira, Alex Luiz & de Almeida Prado, Fernando Pigeard & da Silveira, Jaylson Jair, 2009. "Flex cars and the alcohol price," Energy Economics, Elsevier, Elsevier, vol. 31(3), pages 382-394, May.
  38. Bekaert, Geert & Ehrmann, Michael & Fratzscher, Marcel & Mehl, Arnaud, 2011. "Global crises and equity market contagion," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8438, C.E.P.R. Discussion Papers.
  39. Angulo, Ana M. & Mur, Jesús, 2011. "The Likelihood Ratio Test of Common Factors under Non-Ideal Conditions," Investigaciones Regionales, Asociación Española de Ciencia Regional, Asociación Española de Ciencia Regional, issue 21, pages 37-52.
  40. Mehrotra , Aaron & Sánchez-Fung, José R., 2008. "Forecasting Inflation in China," BOFIT Discussion Papers, Bank of Finland, Institute for Economies in Transition 2/2008, Bank of Finland, Institute for Economies in Transition.
  41. João Sousa Andrade & Adelaide Duarte & Marta Simões, 2011. "Inequality and Growth in Portugal: a time series analysis," GEMF Working Papers 2011-11, GEMF - Faculdade de Economia, Universidade de Coimbra.
  42. Paruolo Paolo, 2002. "Testing for common trends in conditional I(2) VAR models," Economics and Quantitative Methods, Department of Economics, University of Insubria qf0216, Department of Economics, University of Insubria.
  43. Golinelli, Roberto & Parigi, Giuseppe, 2008. "Real-time squared: A real-time data set for real-time GDP forecasting," International Journal of Forecasting, Elsevier, Elsevier, vol. 24(3), pages 368-385.
  44. Jennifer Castle & David Hendry & Jurgen A. Doornik, 2008. "Model Selection when there are Multiple Breaks," Economics Series Working Papers 407, University of Oxford, Department of Economics.
  45. Jennifer Castle & David Hendry, 2012. "Forecasting by factors, by variables, or both?," Economics Series Working Papers 600, University of Oxford, Department of Economics.
  46. Rao, B. Bhaskara & Hassan, Gazi, 2009. "How can we double per capita incomes in Bangladesh in 15 years?," MPRA Paper 17302, University Library of Munich, Germany.
  47. Jane E. Ihrig & Mario Marazzi & Alexander D. Rothenberg, 2006. "Exchange-rate pass-through in the G-7 countries," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 851, Board of Governors of the Federal Reserve System (U.S.).
  48. Eduardo Acosta-González & Fernando Fernández-Rodríguez, 2007. "Model selection via genetic algorithms illustrated with cross-country growth data," Empirical Economics, Springer, Springer, vol. 33(2), pages 313-337, September.
  49. Durevall, Dick & Loening, Josef L. & Ayalew Birru, Yohannes, 2013. "Inflation dynamics and food prices in Ethiopia," Journal of Development Economics, Elsevier, Elsevier, vol. 104(C), pages 89-106.
  50. Clements, Michael P & Galvão, Ana Beatriz, 2006. "Macroeconomic Forecasting with Mixed Frequency Data : Forecasting US output growth and inflation," The Warwick Economics Research Paper Series (TWERPS) 773, University of Warwick, Department of Economics.
  51. Alvaro Escribano & Genaro Sucarrat, 2011. "Automated model selection in finance: General-to-speci c modelling of the mean and volatility speci cations," Working Papers, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales 2011-09, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
  52. David Hendry & Soren Johansen, 2012. "Model Discovery and Trygve Haavelmo's Legacy," Economics Series Working Papers 598, University of Oxford, Department of Economics.
  53. Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2012. "Model Selection in Equations with Many 'Small' Effects," Working Paper Series, The Rimini Centre for Economic Analysis 53_12, The Rimini Centre for Economic Analysis.
  54. Jennifer Castle & David Hendry, 2013. "Semi-automatic Non-linear Model selection," Economics Series Working Papers 654, University of Oxford, Department of Economics.
  55. Heinlein, Reinhold & Krolzig, Hans-Martin, 2012. "On the construction of two-country cointegrated VAR models with an application to the UK and US," Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62310, Verein für Socialpolitik / German Economic Association.
  56. Jennifer Castle & David Hendry, 2013. "Forecasting and Nowcasting Macroeconomic Variables: A Methodological Overview," Economics Series Working Papers 674, University of Oxford, Department of Economics.
  57. David Hendry & Felix Pretis, 2011. "Anthropogenic Influences on Atmospheric CO2," Economics Series Working Papers 584, University of Oxford, Department of Economics.
  58. Neil R. Ericsson, 2008. "The fragility of sensitivity analysis: an encompassing perspective," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 959, Board of Governors of the Federal Reserve System (U.S.).
  59. Rao, B. Bhaskara & Hassan, Gazi, 2009. "How to Increase the Long Run Growth Rate of Bangladesh?," MPRA Paper 14470, University Library of Munich, Germany.
  60. Lein-Rupprecht, Sarah M. & León-Ledesma, Miguel A. & Nerlich, Carolin, 2007. "How is real convergence driving nominal convergence in the new EU Member States?," Working Paper Series, European Central Bank 0827, European Central Bank.
  61. SANTOS, Carlos & OLIVEIRA, Maria Alberta, 2007. "Modelling The German Yield Curve And Testing The Lucas Critique, 1975-2001," Applied Econometrics and International Development, Euro-American Association of Economic Development, Euro-American Association of Economic Development, vol. 7(1).
  62. Jennifer Castle & David Hendry, 2010. "Automatic Selection for Non-linear Models," Economics Series Working Papers 473, University of Oxford, Department of Economics.
  63. David Hendry & Carlos Santos, 2010. "An Automatic Test of Super Exogeneity," Economics Series Working Papers 476, University of Oxford, Department of Economics.
  64. Castle, Jennifer L. & Clements, Michael P. & Hendry, David F., 2013. "Forecasting by factors, by variables, by both or neither?," Journal of Econometrics, Elsevier, Elsevier, vol. 177(2), pages 305-319.
  65. Castle, Jennifer L. & Hendry, David F., 2009. "The long-run determinants of UK wages, 1860-2004," Journal of Macroeconomics, Elsevier, Elsevier, vol. 31(1), pages 5-28, March.
  66. Peter N. Smith & Mike Wickens, 2006. " The New Consensus in Monetary Policy: Is the NKM fit for the purpose of inflation targeting?," CDMA Conference Paper Series, Centre for Dynamic Macroeconomic Analysis 0610, Centre for Dynamic Macroeconomic Analysis.
  67. Julia Campos & Neil R. Ericsson & David F. Hendry, 2005. "General-to-specific modeling: an overview and selected bibliography," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 838, Board of Governors of the Federal Reserve System (U.S.).
  68. Alan Martina, 2007. "A Class of Poverty Traps: A Theory and Empirical Tests," ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics 2007-482, Australian National University, College of Business and Economics, School of Economics.
  69. Mur, Jesús & Angulo, Ana, 2009. "Model selection strategies in a spatial setting: Some additional results," Regional Science and Urban Economics, Elsevier, Elsevier, vol. 39(2), pages 200-213, March.
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  71. Anders Bredahl Kock & Timo Teräsvirta, 2011. "Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques," CREATES Research Papers 2011-27, School of Economics and Management, University of Aarhus.
  72. Sánchez-Fung, José R., 2011. "Estimating monetary policy reaction functions for emerging market economies: The case of Brazil," Economic Modelling, Elsevier, Elsevier, vol. 28(4), pages 1730-1738, July.
  73. Sean Muller, 2012. "Econometric methods and Reichenbach's principle," SALDRU Working Papers, Southern Africa Labour and Development Research Unit, University of Cape Town 85, Southern Africa Labour and Development Research Unit, University of Cape Town.
  74. Majocchi Antonio & Pavione Enrica, 2002. "International franchising in Italy: trends and perspectives," Economics and Quantitative Methods, Department of Economics, University of Insubria qf0215, Department of Economics, University of Insubria.
  75. David Hendry & Grayham E. Mizon, 2012. "Forecasting from Structural Econometric Models," Economics Series Working Papers 597, University of Oxford, Department of Economics.
  76. Chevillon, Guillaume & Rifflart, Christine, 2009. "Physical market determinants of the price of crude oil and the market premium," Energy Economics, Elsevier, Elsevier, vol. 31(4), pages 537-549, July.
  77. Alejandro Gaytán González & Jesús R. González García, 2006. "Structural Changes in the Transmission Mechanism of Monetary Policy in Mexico: A Non-linear VAR Approach," Working Papers, Banco de México 2006-06, Banco de México.
  78. Koutroumanidis, Theodoros & Zafeiriou, Eleni & Arabatzis, Garyfallos, 2009. "Asymmetry in price transmission between the producer and the consumer prices in the wood sector and the role of imports: The case of Greece," Forest Policy and Economics, Elsevier, Elsevier, vol. 11(1), pages 56-64, January.
  79. Alex Luiz Ferreira., 2009. "Is it Risk? An Automated Approach to Explain the ex ante UIP Deviations of Brazil," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 46(133), pages 51-66.