How To Pick The Best Regression Equation: A Review And Comparison Of Model Selection Algorithms
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- 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.
- Steven L. Scott & Hal R. Varian, 2015.
"Bayesian Variable Selection for Nowcasting Economic Time Series,"
NBER Chapters,in: Economic Analysis of the Digital Economy, pages 119-135
National Bureau of Economic Research, Inc.
- Steven L. Scott & Hal R. Varian, 2013. "Bayesian Variable Selection for Nowcasting Economic Time Series," NBER Working Papers 19567, National Bureau of Economic Research, Inc.
- Graham Bird & Alex Mandilaras & Helen Popper, 2012. "Explaining Shifts in Exchange Rate Regimes," School of Economics Discussion Papers 1312, School of Economics, University of Surrey.
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KeywordsModel selection algorithms; Information Criteria; General-to-Specific modeling; Bayesian Model Averaging; Portfolio Models; AIC; SIC; AICc; SICc; Monte Carlo Analysis; Autometrics;
- 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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