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Variable selection in regression models using nonstandard optimisation of information criteria

  • Kapetanios, George
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    File URL: http://www.sciencedirect.com/science/article/B6V8V-4NH7DWT-1/2/a6b2bd7137f3d711a564a9f69bad70f1
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    Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

    Volume (Year): 52 (2007)
    Issue (Month): 1 (September)
    Pages: 4-15

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    Handle: RePEc:eee:csdana:v:52:y:2007:i:1:p:4-15
    Contact details of provider: Web page: http://www.elsevier.com/locate/csda

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    1. Massimiliano Marcellino & James Stock & Mark Watson, 2005. "A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series," Working Papers 285, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    2. Hans-Martin Krolzig, 2000. "Computer Automation of General-to-Specific Model Selection Procedures," Econometric Society World Congress 2000 Contributed Papers 0411, Econometric Society.
    3. Hendry, David F., 1997. "On congruent econometric relations : A comment," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 47(1), pages 163-190, December.
    4. Hendry, David F., 1995. "Dynamic Econometrics," OUP Catalogue, Oxford University Press, number 9780198283164, March.
    5. Ralf BRUEGGEMANN & Hans-Martin KROLZIG & Helmut LUETKEPOHL, 2002. "Comparison of Model Reduction Methods for VAR Processes," Economics Working Papers ECO2002/19, European University Institute.
    6. Goffe, William L. & Ferrier, Gary D. & Rogers, John, 1994. "Global optimization of statistical functions with simulated annealing," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 65-99.
    7. George Kapetanios, 2002. "Modelling Core Inflation for the UK Using a New Dynamic Factor Estimation Method and a Large Disaggregated Price Index Dataset," Working Papers 471, Queen Mary University of London, School of Economics and Finance.
    8. Gatu, Cristian & Kontoghiorghes, Erricos J., 2006. "Estimating all possible SUR models with permuted exogenous data matrices derived from a VAR process," Journal of Economic Dynamics and Control, Elsevier, vol. 30(5), pages 721-739, May.
    9. Aznar, Antonio & Salvador, Manuel, 2002. "Selecting The Rank Of The Cointegration Space And The Form Of The Intercept Using An Information Criterion," Econometric Theory, Cambridge University Press, vol. 18(04), pages 926-947, August.
    10. Marimon, Ramon & McGrattan, Ellen & Sargent, Thomas J., 1990. "Money as a medium of exchange in an economy with artificially intelligent agents," Journal of Economic Dynamics and Control, Elsevier, vol. 14(2), pages 329-373, May.
    11. Cadima, Jorge & Cerdeira, J. Orestes & Minhoto, Manuel, 2004. "Computational aspects of algorithms for variable selection in the context of principal components," Computational Statistics & Data Analysis, Elsevier, vol. 47(2), pages 225-236, September.
    12. James H. Stock & Mark W. Watson, 1999. "Forecasting Inflation," NBER Working Papers 7023, National Bureau of Economic Research, Inc.
    13. Carmen Fernandez & E Ley & Mark F J Steel, 2004. "Benchmark priors for Bayesian models averaging," ESE Discussion Papers 66, Edinburgh School of Economics, University of Edinburgh.
    14. George Kapetanios, 2005. "Variable Selection using Non-Standard Optimisation of Information Criteria," Working Papers 533, Queen Mary University of London, School of Economics and Finance.
    15. Kevin Hoover & Stephen J. Perez, 2003. "Data Mining Reconsidered: Encompassing And The General-To-Specific Approach To Specification Search," Working Papers 9727, University of California, Davis, Department of Economics.
    16. John C. Chao & Peter C.B. Phillips, 1997. "Model Selection in Partially Nonstationary Vector Autoregressive Processes with Reduced Rank Structure," Cowles Foundation Discussion Papers 1155, Cowles Foundation for Research in Economics, Yale University.
    17. Ho, Mun S & Sorensen, Bent E, 1996. "Finding Cointegration Rank in High Dimensional Systems Using the Johansen Test: An Illustration Using Data Based Monte Carlo Simulations," The Review of Economics and Statistics, MIT Press, vol. 78(4), pages 726-32, November.
    18. Winker, Peter, 1995. "Identification of multivariate AR-models by threshold accepting," Computational Statistics & Data Analysis, Elsevier, vol. 20(3), pages 295-307, September.
    19. Sin, Chor-Yiu & White, Halbert, 1996. "Information criteria for selecting possibly misspecified parametric models," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 207-225.
    20. Kapetanios, George, 2004. "A note on modelling core inflation for the UK using a new dynamic factor estimation method and a large disaggregated price index dataset," Economics Letters, Elsevier, vol. 85(1), pages 63-69, October.
    21. Jonathan H. Wright, 2003. "Forecasting U.S. inflation by Bayesian Model Averaging," International Finance Discussion Papers 780, Board of Governors of the Federal Reserve System (U.S.).
    22. Winker, Peter & Gilli, Manfred, 2004. "Applications of optimization heuristics to estimation and modelling problems," Computational Statistics & Data Analysis, Elsevier, vol. 47(2), pages 211-223, September.
    23. Hofmann, Marc & Gatu, Cristian & Kontoghiorghes, Erricos John, 2007. "Efficient algorithms for computing the best subset regression models for large-scale problems," Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 16-29, September.
    24. Ostermark, Ralf, 1999. "Solving Irregular Econometric and Mathematical Optimization Problems with a Genetic Hybrid Algorithm," Computational Economics, Society for Computational Economics, vol. 13(2), pages 103-15, April.
    25. Dorsey, Robert E & Mayer, Walter J, 1995. "Genetic Algorithms for Estimation Problems with Multiple Optima, Nondifferentiability, and Other Irregular Features," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 53-66, January.
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