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Specification search in nonlinear time-series models using the genetic algorithm

  • Beenstock, Michael
  • Szpiro, George

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File URL: http://www.sciencedirect.com/science/article/B6V85-44JJ2BT-5/2/f251895320797f2bd6007441a3f01b47
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Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 26 (2002)
Issue (Month): 5 (May)
Pages: 811-835

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Handle: RePEc:eee:dyncon:v:26:y:2002:i:5:p:811-835
Contact details of provider: Web page: http://www.elsevier.com/locate/jedc

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  1. Miller, John H., 1996. "The coevolution of automata in the repeated Prisoner's Dilemma," Journal of Economic Behavior & Organization, Elsevier, vol. 29(1), pages 87-112, January.
  2. Russell Davidson & James G. MacKinnon, 1980. "Several Tests for Model Specification in the Presence of Alternative Hypotheses," Working Papers 378, Queen's University, Department of Economics.
  3. 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 657-78, May.
  4. 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.
  5. Varetto, Franco, 1998. "Genetic algorithms applications in the analysis of insolvency risk," Journal of Banking & Finance, Elsevier, vol. 22(10-11), pages 1421-1439, October.
  6. Schmertmann, Carl P, 1996. "Functional Search in Economics Using Genetic Programming," Computational Economics, Society for Computational Economics, vol. 9(4), pages 275-98, November.
  7. 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.
  8. Szpiro, George G, 1997. "A Search for Hidden Relationships: Data Mining with Genetic Algorithms," Computational Economics, Society for Computational Economics, vol. 10(3), pages 267-77, August.
  9. Clive Granger & Allan Timmermann, 1999. "Data mining with local model specification uncertainty: a discussion of Hoover and Perez," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 220-225.
  10. Dawid, Herbert, 1999. "On the convergence of genetic learning in a double auction market," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1545-1567, September.
  11. Halbert White, 2000. "A Reality Check for Data Snooping," Econometrica, Econometric Society, vol. 68(5), pages 1097-1126, September.
  12. Beenstock, Michael & Goldin, Ephraim & Haitovsky, Yoel, 2000. "What jackpot? The optimal lottery tax," European Journal of Political Economy, Elsevier, vol. 16(4), pages 655-671, November.
  13. Beenstock, Michael & Haitovsky, Yoel, 2001. "Lottomania and other anomalies in the market for lotto," Journal of Economic Psychology, Elsevier, vol. 22(6), pages 721-744, December.
  14. Farley, Arthur M & Jones, Samuel, 1994. "Using a Genetic Algorithm to Determine an Index of Leading Economic Indicators," Computational Economics, Society for Computational Economics, vol. 7(3), pages 163-73.
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