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Citations for "Computer Automation of General-to-Specific Model Selection Procedures"

by David Hendry & Hans-Martin Krolzig

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  1. Guo, Hui & Savickas, Robert, 2008. "Forecasting foreign exchange rates using idiosyncratic volatility," Journal of Banking & Finance, Elsevier, Elsevier, vol. 32(7), pages 1322-1332, July.
  2. Benoît Bellone, 2006. "Une lecture probabiliste du cycle d’affaires américain," Économie et Prévision, Programme National Persée, Programme National Persée, vol. 172(1), pages 63-81.
  3. George Kapetanios & Vincent Labhard & Simon Price, 2006. "Forecasting using Bayesian and Information Theoretic Model Averaging: An Application to UK Inflation," Working Papers, Queen Mary, University of London, School of Economics and Finance 566, Queen Mary, University of London, School of Economics and Finance.
  4. Pillai N., Vijayamohanan, 2008. "In Quest of Truth: The War of Methods in Economics," MPRA Paper 8866, University Library of Munich, Germany.
  5. Jan J.J. Groen & George Kapetanios, 2008. "Revisiting Useful Approaches to Data-Rich Macroeconomic Forecasting," Working Papers, Queen Mary, University of London, School of Economics and Finance 624, Queen Mary, University of London, School of Economics and Finance.
  6. R. Quentin Grafton & Tom Kompas & P. Dorian Owen, 2004. "Bridging the Barriers: Knowledge Connections, Productivity, and Capital Accumulation," International and Development Economics Working Papers, International and Development Economics idec04-5, International and Development Economics.
  7. Alam, Shaista & Ahmed, Qazi Masood, 2012. "Exchange Rate Volatility and Aggregate Exports Demand through ARDL Framework: An Experience from Pakistan Economy," Review of Applied Economics, Review of Applied Economics, Review of Applied Economics, vol. 8(1).
  8. Thomas Mayer, 2003. "Misinterpreting a Failure to Disconfirm as a Confirmation: A Recurrent Misreading of Significance Tests," Working Papers, University of California, Davis, Department of Economics 18, University of California, Davis, Department of Economics.
  9. Kapetanios, George, 2006. "Choosing the optimal set of instruments from large instrument sets," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 51(2), pages 612-620, November.
  10. Bec, F. & Mogliani, M., 2013. "Nowcasting French GDP in Real-Time from Survey Opinions: Information or Forecast Combinations?," Working papers, Banque de France 436, Banque de France.
  11. Éric Dubois & Emmanuel Michaux, 2006. "Étalonnages à l’aide d’enquêtes de conjoncture : de nouveaux résultats," Économie et Prévision, Programme National Persée, Programme National Persée, vol. 172(1), pages 11-28.
  12. Gernot Doppelhofer & Melvyn Weeks, 2007. "Jointness of Growth Determinants," CESifo Working Paper Series 1978, CESifo Group Munich.
  13. Fujiwara, Ippei & Koga, Maiko, 2004. "A Statistical Forecasting Method for Inflation Forecasting: Hitting Every Vector Autoregression and Forecasting under Model Uncertainty," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, Institute for Monetary and Economic Studies, Bank of Japan, vol. 22(1), pages 123-142, March.
  14. Jaime Marquez & Shing-Yi Wang, 2003. "IT investment and Hicks' composite-good theorem: the U.S. experience," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 767, Board of Governors of the Federal Reserve System (U.S.).
  15. Stekler, H.O., 2007. "The future of macroeconomic forecasting: Understanding the forecasting process," International Journal of Forecasting, Elsevier, Elsevier, vol. 23(2), pages 237-248.
  16. Demir, Firat, 2006. "Volatility of short term capital flows and socio-political instability in Argentina, Mexico and Turkey," MPRA Paper 1943, University Library of Munich, Germany.
  17. Kearney, Colm & Muckley, Cal, 2007. "Reassessing the evidence of an emerging yen block in North and Southeast Asia," International Review of Economics & Finance, Elsevier, Elsevier, vol. 16(2), pages 255-271.
  18. David Hendry & Søren Johansen & Carlos Santos, 2008. "Automatic selection of indicators in a fully saturated regression," Computational Statistics, Springer, Springer, vol. 23(2), pages 337-339, April.
  19. John Aldrich, 2006. "When are inferences too fragile to be believed?," Journal of Economic Methodology, Taylor & Francis Journals, Taylor & Francis Journals, vol. 13(2), pages 161-177.
  20. Janine Aron & John Muellbauer & Benjamin Smit, 2004. "A Structural Model of the Inflation Process in South Africa," Development and Comp Systems 0409055, EconWPA.
  21. Marcin Blazejowski & Pawel Kufel & Tadeusz Kufel, 2009. "Automatic Procedure of Building Congruent Dynamic Model in Gretl," EHUCHAPS, Universidad del País Vasco - Facultad de Ciencias Económicas y Empresariales, Universidad del País Vasco - Facultad de Ciencias Económicas y Empresariales.
  22. P. Dorian Owen & R. Quentin Grafton & Tom Kompas, 2004. "Productivity, Factor Accumulation and Social Networks: Theory and Evidence," Econometric Society 2004 Australasian Meetings, Econometric Society 224, Econometric Society.
  23. Selva Demiralp & Kevin Hoover & Stephen Perez, 2014. "Still puzzling: evaluating the price puzzle in an empirically identified structural vector autoregression," Empirical Economics, Springer, Springer, vol. 46(2), pages 701-731, March.
  24. Carmine Pappalardo & Gianfranco Piras, 2004. "Vector-Autoregression Approach to Forecast Italian Imports," ISAE Working Papers, ISTAT - Italian National Institute of Statistics - (Rome, ITALY) 42, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
  25. 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.).
  26. Janine Aron & John Muellbauer, 2007. "Inflation dynamics and trade openness: with an application to South Africa," CSAE Working Paper Series 2007-11, Centre for the Study of African Economies, University of Oxford.
  27. David Hendry & Hans-Martin Krolzig, 2003. "The Properties of Automatic Gets Modelling," Economics Papers 2003-W14, Economics Group, Nuffield College, University of Oxford.
  28. Bent Nielsen & Soren Johansen and Rocco Mosconi, 2000. "Cointegration analysis in the presence of structural breaks in the deterministic trend," Economics Series Working Papers 2000-W22, University of Oxford, Department of Economics.
  29. Antipa, P. & Barhoumi, K. & Brunhes-Lesage, V. & Darné, O., 2012. "Nowcasting German GDP: A comparison of bridge and factor models," Working papers, Banque de France 401, Banque de France.
  30. Kevin D. Hoover & Stephen J. Perez, . "Truth and Robustness in Cross-country Growth Regressions," Department of Economics, California Davis - Department of Economics 01-01, California Davis - Department of Economics.
  31. Teräsvirta, Timo & van Dijk, Dick & Medeiros, Marcelo, 2004. "Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination," Working Paper Series in Economics and Finance 561, Stockholm School of Economics, revised 04 Nov 2004.
  32. 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.
  33. Dietmar Maringer & Peter Winker, 2004. "Optimal Lag Structure Selection in VEC-Models," Computing in Economics and Finance 2004, Society for Computational Economics 155, Society for Computational Economics.
  34. Barhoumi, K. & Brunhes-Lesage, V. & Darné, O. & Ferrara, L. & Pluyaud, B. & Rouvreau, B., 2008. "Monthly forecasting of French GDP: A revised version of the OPTIM model," Working papers, Banque de France 222, Banque de France.
  35. Barkbu, Bergljot Bjornson & Nymoen, Ragnar & Roed, Knut, 2003. "Wage coordination and unemployment dynamics in Norway and Sweden," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, Elsevier, vol. 32(1), pages 37-58, March.
  36. Hendry, David F., 2001. "Achievements and challenges in econometric methodology," Journal of Econometrics, Elsevier, Elsevier, vol. 100(1), pages 7-10, January.
  37. Kevin D. Hoover & Mark V. Siegler, 2005. "Sound and Fury: McCloskey and Significance Testing in Economics," Econometrics, EconWPA 0511018, EconWPA.
  38. Selva Demiralp & Kevin D. Hoover, 2003. "Searching for the Causal Structure of a Vector Autoregression," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 745-767, December.
  39. Boschi, Melisso & Girardi, Alessandro, 2005. "Does one monetary policy fit all? the determinants of inflation in EMU countries," MPRA Paper 28554, University Library of Munich, Germany.
  40. Allen, P. Geoffrey & Morzuch, Bernard J., 2006. "Twenty-five years of progress, problems, and conflicting evidence in econometric forecasting. What about the next 25 years?," International Journal of Forecasting, Elsevier, Elsevier, vol. 22(3), pages 475-492.
  41. Costantini, Mauro & Pappalardo, Carmine, 2010. "A hierarchical procedure for the combination of forecasts," International Journal of Forecasting, Elsevier, Elsevier, vol. 26(4), pages 725-743, October.
  42. Bontemps, Christophe & Mizon, Grayham E., 2001. "Congruence and encompassing," Discussion Paper Series In Economics And Econometrics 0107, Economics Division, School of Social Sciences, University of Southampton.
  43. Todd E. Clark, 2004. "Can out-of-sample forecast comparisons help prevent overfitting?," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 23(2), pages 115-139.
  44. Paulo Reis Mourao, 2007. "Has Trade Openness Increased all Portuguese Public Expenditures? A Detailed Time-Series Study," Financial Theory and Practice, Institute of Public Finance, Institute of Public Finance, vol. 31(3), pages 225-247.
  45. José R. Sánchez-Fung, 2002. "Estimating a Monetary Policy Reaction Function for the Dominican Republic," Studies in Economics, Department of Economics, University of Kent 0201, Department of Economics, University of Kent.
  46. Benoit Bellone, 2004. "Une lecture probabiliste du cycle d’affaires américain," Econometrics, EconWPA 0407002, EconWPA, revised 28 Mar 2005.
  47. Teodosio Perez-Amaral & Giampiero M. Gallo & Halbert White, 2003. "Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico 0309, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  48. Fukuda, Kosei, 2007. "Joint detection of unit roots and cointegration: Data-based simulation," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 75(1), pages 28-36.
  49. Hans-Martin Krolzig, 2001. "General--to--Specific Reductions of Vector Autoregressive Processes," Computing in Economics and Finance 2001, Society for Computational Economics 164, Society for Computational Economics.
  50. Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2003. "Leading Indicators for Euro-area Inflation and GDP Growth," Working Papers 235, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  51. Ralf BRUEGGEMANN & Hans-Martin KROLZIG & Helmut LUETKEPOHL, 2002. "Comparison of Model Reduction Methods for VAR Processes," Economics Working Papers, European University Institute ECO2002/19, European University Institute.
  52. Kapetanios, George, 2007. "Variable selection in regression models using nonstandard optimisation of information criteria," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 52(1), pages 4-15, September.
  53. Yongfu Huang, 2005. "What determines financial development?," Bristol Economics Discussion Papers 05/580, Department of Economics, University of Bristol, UK.
  54. 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.
  55. 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.
  56. 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.
  57. 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.).
  58. repec:ebl:ecbull:v:3:y:2008:i:32:p:1-8 is not listed on IDEAS
  59. Hsu, Nan-Jung & Hung, Hung-Lin & Chang, Ya-Mei, 2008. "Subset selection for vector autoregressive processes using Lasso," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 52(7), pages 3645-3657, March.
  60. Bernt P. Stigum, 2000. "Rationality in Econometrics," Econometric Society World Congress 2000 Contributed Papers, Econometric Society 0747, Econometric Society.
  61. C. Minodier, 2010. "First results series or last available series: which series to use? A real-time illustration for the forecasting of French quarterly GDP growth," Documents de Travail de la DESE - Working Papers of the DESE, Institut National de la Statistique et des Etudes Economiques, DESE g2010-01, Institut National de la Statistique et des Etudes Economiques, DESE.
  62. Matthieu Cornec & Thierry Deperraz, 2007. "A New Monthly Synthetic Indicator Summarising the Business Climate of the French Service Sector," Economie et Statistique, Institut National de la Statistique et des Etudes Economiques, Institut National de la Statistique et des Etudes Economiques, vol. 395, pages 13-38, January.
  63. David F. Hendry, 2001. "Modelling UK inflation, 1875-1991," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 16(3), pages 255-275.
  64. David Fielding & Anja Shortland, 2010. "Foreign Interventions and Abuse of Civilians during the Peruvian Civil War," Discussion Papers of DIW Berlin 1051, DIW Berlin, German Institute for Economic Research.
  65. Banerjee, Anindya & Marcellino, Massimiliano, 2006. "Are there any reliable leading indicators for US inflation and GDP growth?," International Journal of Forecasting, Elsevier, Elsevier, vol. 22(1), pages 137-151.
  66. Steven Cook, 2001. "Observations on the practice of data-mining: comments on the JEM symposium," Journal of Economic Methodology, Taylor & Francis Journals, Taylor & Francis Journals, vol. 8(3), pages 415-419.
  67. Gernot Doppelhofer & Xavier Sala I Martin & Melvyn Weeks, 2005. "Jointness of Determinants of Economics Growth," Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group 54, Money Macro and Finance Research Group.
  68. Charles P. Thomas & Jaime Marquez & Sean Fahle, 2008. "Measuring U.S. international relative prices: a WARP view of the world," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 917, Board of Governors of the Federal Reserve System (U.S.).
  69. Olivier Darne, 2008. "Using business survey in industrial and services sector to nowcast GDP growth:The French case," Economics Bulletin, AccessEcon, vol. 3(32), pages 1-8.
  70. Dalibor Roháč, 2012. "On economists and garbagemen: Reflections on Šťastný (2010)," The Review of Austrian Economics, Springer, Springer, vol. 25(2), pages 173-183, June.
  71. Chen, Pu, 2009. "A Note on Updating Forecasts When New Information Arrives between Two Periods," Economics Discussion Papers 2009-22, Kiel Institute for the World Economy.
  72. Naeem ur Rehman Khattak & Iftikhar Ahmad & Jangraiz Khan, 2010. "Fiscal Decentralisation in Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, Pakistan Institute of Development Economics, vol. 49(4), pages 419–436.
  73. Éric Dubois, 2006. "Présentation générale," Économie et Prévision, Programme National Persée, Programme National Persée, vol. 172(1), pages 1-9.
  74. 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.
  75. Joseph P & Romano & Azeem M. Shaikh & Michael Wolf, 2005. "Formalized Data Snooping Based on Generalized Error Rates," IEW - Working Papers 259, Institute for Empirical Research in Economics - University of Zurich.
  76. Ghassan, Hassan B., 2003. "Test de l’effet de stabilisation automatique par la modélisation SVAR sans contrainte de long terme
    [Testing the Automatic Stabilization Effect: Evidence from SVAR Model without Long-Term Constr
    ," MPRA Paper 56387, University Library of Munich, Germany, revised 02 Apr 2003.
  77. Dubois, 2005. "Grocer 1.0, an Econometric Toolbox for Scilab: an Econometrician Point of View," Econometrics, EconWPA 0501014, EconWPA.
  78. David F. Hendry & Søren Johansen & Carlos Santos, 2007. "Selecting a Regression Saturated by Indicators," Discussion Papers 07-26, University of Copenhagen. Department of Economics.
  79. Demir, Firat, 2004. "A Failure Story: Politics and Financial Liberalization in Turkey, Revisiting the Revolving Door Hypothesis," World Development, Elsevier, Elsevier, vol. 32(5), pages 851-869, May.
  80. Romain Duval & Jørgen Elmeskov & Lukas Vogel, 2007. "Structural Policies and Economic Resilience to Shocks," OECD Economics Department Working Papers 567, OECD Publishing.
  81. Thomas Mayer, . "Misinterpreting a Failure to Disconfirm as a Confirmation: A Recurrent Misreading of Significance Tests," Department of Economics, California Davis - Department of Economics 01-08, California Davis - Department of Economics.
  82. Dina Tasneem & Jim Engle-Warnick & Hassan Benchekroun, 2014. "An Experimental Study of a Common Property Renewable Resource Game in Continuous Time," CIRANO Working Papers, CIRANO 2014s-09, CIRANO.
  83. Piteli, Eleni E.N., 2009. "Foreign Direct Investment in Developed Economies: A Comparison between European and non - European Countries," Papers, Economic and Social Research Institute (ESRI) DYNREG44, Economic and Social Research Institute (ESRI).
  84. Brunhes-Lesage, Véronique & Darné, Olivier, 2012. "Nowcasting the French index of industrial production: A comparison from bridge and factor models," Economic Modelling, Elsevier, Elsevier, vol. 29(6), pages 2174-2182.
  85. Neil R. Ericsson, 2001. "Forecast uncertainty in economic modeling," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 697, Board of Governors of the Federal Reserve System (U.S.).