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Encompassing and Automatic Model Selection

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  • Jurgen A. Doornik

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1468-0084.2008.00536.x
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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. David Hendry & Soren Johansen, 2012. "Model Discovery and Trygve Haavelmo's Legacy," Economics Series Working Papers 598, University of Oxford, Department of Economics.
  2. David Hendry & Felix Pretis, 2011. "Anthropogenic Influences on Atmospheric CO2," Economics Series Working Papers 584, University of Oxford, Department of Economics.
  3. Anders Bredahl Kock & Timo Teräsvirta, 2010. "Forecasting with nonlinear time series models," CREATES Research Papers 2010-01, Department of Economics and Business Economics, Aarhus University.
  4. Genaro Sucarrat & Alvaro Escribano, 2012. "Automated Model Selection in Finance: General-to-Specific Modelling of the Mean and Volatility Specifications," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(5), pages 716-735, October.
  5. Neil Ericsson & Erica Reisman, 2012. "Evaluating a Global Vector Autoregression for Forecasting," International Advances in Economic Research, International Atlantic Economic Society, vol. 18(3), pages 247-258, August.
  6. González, Andrés & Hubrich, Kirstin & Teräsvirta, Timo, 2011. "Forecasting inflation with gradual regime shifts and exogenous information," Working Paper Series 1363, European Central Bank.
  7. Anna Norin, 2011. "Nowcasting of the Gross Regional Product," ERSA conference papers ersa10p768, European Regional Science Association.
  8. Jennifer Castle & David Hendry, 2010. "Automatic Selection for Non-linear Models," Economics Series Working Papers 473, University of Oxford, Department of Economics.
  9. repec:kap:iaecre:v:18:y:2012:i:3:p:247-258 is not listed on IDEAS
  10. Barbara Rossi, 2011. "Advances in Forecasting Under Instability," Working Papers 11-20, Duke University, Department of Economics.
  11. 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.
  12. 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.
  13. Neil R. Ericsson & Erica L. Reisman, 2012. "Evaluating a global vector autoregression for forecasting," International Finance Discussion Papers 1056, Board of Governors of the Federal Reserve System (U.S.).
  14. Jennifer Castle & David Hendry, 2013. "Forecasting and Nowcasting Macroeconomic Variables: A Methodological Overview," Economics Series Working Papers 674, University of Oxford, Department of Economics.
  15. David Hendry & Grayham E. Mizon, 2016. "Improving the Teaching of Econometrics," Economics Series Working Papers 785, University of Oxford, Department of Economics.
  16. 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.
  17. 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.
  18. David Hendry & Jurgen A. Doornik, 2014. "Statistical Model Selection with 'Big Data'," Economics Series Working Papers 735, University of Oxford, Department of Economics.

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