Using Model Selection Algorithms To Obtain Reliable Coefficient Estimates
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- Jennifer Castle & Xiaochuan Qin & W. Robert Reed, 2011. "Using Model Selection Algorthims to Obtain Reliable Coefficient Estimates," Working Papers in Economics 11/03, University of Canterbury, Department of Economics and Finance.
References listed on IDEAS
- Castle Jennifer L. & Doornik Jurgen A & Hendry David F., 2011. "Evaluating Automatic Model Selection," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-33, February.
- Phillips, Peter C.B., 2005. "Automated Discovery In Econometrics," Econometric Theory, Cambridge University Press, vol. 21(01), pages 3-20, February.
- McAleer, Michael & Pagan, Adrian R & Volker, Paul A, 1985. "What Will Take the Con out of Econometrics?," American Economic Review, American Economic Association, vol. 75(3), pages 293-307, June.
- Leeb, Hannes & P tscher, Benedikt M., 2003.
"The Finite-Sample Distribution Of Post-Model-Selection Estimators And Uniform Versus Nonuniform Approximations,"
Cambridge University Press, vol. 19(01), pages 100-142, February.
- Hannes Leeb & Benedikt M. Poetscher, 2000. "The Finite-Sample Distribution of Post-Model-Selection Estimators, and Uniform Versus Non-Uniform Approximations," Econometrics 0004001, EconWPA.
- Sune Karlsson & Tor Jacobson, 2004.
"Finding good predictors for inflation: a Bayesian model averaging approach,"
Journal of Forecasting,
John Wiley & Sons, Ltd., vol. 23(7), pages 479-496.
- Jacobson, Tor & Karlsson, Sune, 2002. "Finding Good Predictors for Inflation: A Bayesian Model Averaging Approach," Working Paper Series 138, Sveriges Riksbank (Central Bank of Sweden).
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- repec:eee:intfor:v:34:y:2018:i:1:p:119-135 is not listed on IDEAS
- 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.
- Hendry, David F., 2018.
"Deciding between alternative approaches in macroeconomics,"
International Journal of Forecasting,
Elsevier, vol. 34(1), pages 119-135.
- David Hendry, 2016. "Deciding Between Alternative Approaches In Macroeconomics," Economics Series Working Papers 778, University of Oxford, Department of Economics.
- Cunha, Ronan & Pereira, Pedro L. Valls, 2015. "Automatic model selection for forecasting Brazilian stock returns," Textos para discussão 398, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
- Ericsson Neil R., 2016. "Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(4), pages 377-398, September.
More about this item
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
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