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Encompassing and Automatic Model Selection

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  • Jurgen A. Doornik

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  • Jurgen A. Doornik, 2008. "Encompassing and Automatic Model Selection," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 915-925, December.
  • Handle: RePEc:bla:obuest:v:70:y:2008:i:s1:p:915-925
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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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    References listed on IDEAS

    as
    1. 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.
    2. David F. Hendry & Hans-Martin Krolzig, 2005. "The Properties of Automatic "GETS" Modelling," Economic Journal, Royal Economic Society, vol. 115(502), pages 32-61, March.
    3. Teodosio Perez-Amaral & Giampiero M. Gallo & Halbert White, 2003. "A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 821-838, December.
    4. Christophe Bontemps & Grayham E. Mizon, 2008. "Encompassing: Concepts and Implementation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 721-750, December.
    5. Florens, Jean-Pierre & Hendry, David F. & Richard, Jean-François, 1996. "Encompassing and Specificity," Econometric Theory, Cambridge University Press, vol. 12(04), pages 620-656, October.
    6. 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 657-678, May.
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    Citations

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    Cited by:

    1. Rossi, Barbara, 2013. "Advances in Forecasting under Instability," Handbook of Economic Forecasting, Elsevier.
    2. 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.
    3. 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.
    4. Neil Ericsson & Erica Reisman, 2012. "Evaluating a Global Vector Autoregression for Forecasting," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 18(3), pages 247-258, August.
    5. Hendry David F & Mizon Grayham E, 2011. "Econometric Modelling of Time Series with Outlying Observations," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-26, February.
    6. Andrés González & Kirstin Hubrich & Timo Teräsvirta, 2009. "Forecasting inflation with gradual regime shifts and exogenous information," CREATES Research Papers 2009-03, Department of Economics and Business Economics, Aarhus University.
    7. Christophe Bontemps & Grayham E. Mizon, 2008. "Encompassing: Concepts and Implementation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 721-750, December.
    8. repec:kap:iaecre:v:18:y:2012:i:3:p:247-258 is not listed on IDEAS
    9. 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.
    10. Hendry, David F. & Johansen, Søren, 2015. "Model Discovery And Trygve Haavelmo’S Legacy," Econometric Theory, Cambridge University Press, vol. 31(01), pages 93-114, February.
    11. 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.
    12. David Hendry & Jurgen A. Doornik, 2014. "Statistical Model Selection with 'Big Data'," Economics Series Working Papers 735, University of Oxford, Department of Economics.
    13. 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.
    14. Jennifer Castle & David Hendry, 2010. "Automatic Selection for Non-linear Models," Economics Series Working Papers 473, University of Oxford, Department of Economics.
    15. Salas-Molina, Francisco & Martin, Francisco J. & Rodríguez-Aguilar, Juan A. & Serrà, Joan & Arcos, Josep Ll., 2017. "Empowering cash managers to achieve cost savings by improving predictive accuracy," International Journal of Forecasting, Elsevier, vol. 33(2), pages 403-415.
    16. Jennifer Castle & David Hendry, 2013. "Forecasting and Nowcasting Macroeconomic Variables: A Methodological Overview," Economics Series Working Papers 674, University of Oxford, Department of Economics.
    17. Carlisle E. Moody & Thomas B. Marvell, 2010. "On the Choice of Control Variables in the Crime Equation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(5), pages 696-715, October.
    18. 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.
    19. David F. Hendry & Felix Pretis, 2013. "Anthropogenic influences on atmospheric CO2," Chapters,in: Handbook on Energy and Climate Change, chapter 12, pages 287-326 Edward Elgar Publishing.
    20. Anna Norin, 2011. "Nowcasting of the Gross Regional Product," ERSA conference papers ersa10p768, European Regional Science Association.
    21. David Hendry & Grayham E. Mizon, 2016. "Improving the Teaching of Econometrics," Economics Series Working Papers 785, University of Oxford, Department of Economics.
    22. repec:taf:oaefxx:v:3:y:2015:i:1:p:1045216 is not listed on IDEAS
    23. 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.

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