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Model Selection and Simplification Using Lattices

Author

Listed:
  • Jan Hanousek
  • Jaromir Antoch

Abstract

This paper shows how to cope with a problem of model selection and simplification using the principle of coherence (Gabriel (1969): A procedure involving testing a set of models ought not accept a model while rejecting a more general model). The mathematical lattice theory is used to define a partial ordering over the space of considered models. Several examples of partial ordering in large families of models are given along with a searching algorithm to determine the best model with respect to chosen criteria.

Suggested Citation

  • Jan Hanousek & Jaromir Antoch, 2000. "Model Selection and Simplification Using Lattices," CERGE-EI Working Papers wp164, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  • Handle: RePEc:cer:papers:wp164
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    File URL: http://www.cerge-ei.cz/pdf/wp/Wp164.pdf
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    References listed on IDEAS

    as
    1. Damiani, Mirella & Panattoni, Lorenzo, 1992. "Optimal simulation with econometric models," Journal of Economic Dynamics and Control, Elsevier, vol. 16(1), pages 93-108, January.
    2. repec:cup:etheor:v:6:y:1990:i:2:p:171-261 is not listed on IDEAS
    3. Bearse, Peter M & Bozdogan, Hamparsum & Schlottmann, Alan M, 1997. "Empirical Econometric Modelling of Food Consumption Using a New Informational Complexity Approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(5), pages 563-586, Sept.-Oct.
    4. Hendry, David F. & Learmer, Edward E. & Poirier, Dale J., 1990. "A Conversation on Econometric Methodology," Econometric Theory, Cambridge University Press, vol. 6(02), pages 171-261, June.
    5. Dorfman, Jeffrey H. & Havenner, Arthur M., 1992. "A Bayesian approach to state space multivariate time series modeling," Journal of Econometrics, Elsevier, vol. 52(3), pages 315-346, June.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    model selection and simplification; principle of coherence; lattice of models; regression; ARMA models;

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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