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Citations for "Automatic selection of indicators in a fully saturated regression"

by David Hendry & Søren Johansen & Carlos Santos

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  1. Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2013. "Model Selection in Equations with Many ‘Small’ Effects," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(1), pages 6-22, 02.
  2. Marczak, Martyna & Proietti, Tommaso, 2014. "Outlier detection in structural time series models: The indicator saturation approach," FZID Discussion Papers 90-2014, University of Hohenheim, Center for Research on Innovation and Services (FZID).
  3. Christian Dreger & Jürgen Wolters, 2010. "Money Demand and the Role of Monetary Indicators in Forecasting Euro Area Inflation," Discussion Papers of DIW Berlin 1064, DIW Berlin, German Institute for Economic Research.
  4. Cubadda, Gianluca & Guardabascio, Barbara & Hecq, Alain, 2013. "A general to specific approach for constructing composite business cycle indicators," Economic Modelling, Elsevier, vol. 33(C), pages 367-374.
  5. Marçal, Emerson Fernandes, 2014. "Desalinhamentos Cambiais, Interdependência, Crises, Guerras cambiais: Uma avaliação empírica," Revista Brasileira de Economia, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 68(2), June.
  6. David Hendry & Grayham E. Mizon, 2012. "Forecasting from Structural Econometric Models," Economics Series Working Papers 597, University of Oxford, Department of Economics.
  7. Bill Russell & Dooruj Rambaccussing, 2016. "Breaks and the Statistical Process of Inflation: The Case of the ‘Modern’ Phillips Curve," Dundee Discussion Papers in Economics 294, Economic Studies, University of Dundee.
  8. David Hendry & Carlos Santos, 2010. "An Automatic Test of Super Exogeneity," Economics Series Working Papers 476, University of Oxford, Department of Economics.
  9. 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.
  10. Neil R. Ericsson & Erica L. Reisman, 2012. "Evaluating a Global Vector Autoregression for Forecasting," Working Papers 2012-006, The George Washington University, Department of Economics, Research Program on Forecasting.
  11. William Larson, 2015. "Forecasting an Aggregate in the Presence of Structural Breaks in the Disaggregates," Working Papers 2015-002, The George Washington University, Department of Economics, Research Program on Forecasting.
  12. David Hendry, 2016. "Deciding Between Alternative Approaches In Macroeconomics," Economics Series Working Papers 778, University of Oxford, Department of Economics.
  13. Neil R. Ericsson, 2015. "Eliciting GDP Forecasts from the FOMC’s Minutes Around the Financial Crisis," Working Papers 2015-003, The George Washington University, Department of Economics, Research Program on Forecasting.
  14. J. James Reade & Ulrich Volz, 2009. "Too Much to Lose, or More to Gain? Should Sweden Join the Euro?," Economics Series Working Papers 442, University of Oxford, Department of Economics.
  15. 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.
  16. David Hendry, 2011. "Unpredictability in Economic Analyis, Econometric Modelling and Forecasting," Economics Series Working Papers 551, University of Oxford, Department of Economics.
  17. David Hendry, 2011. "Empirical Economic Model Discovery and Theory Evaluation," Economics Series Working Papers 529, University of Oxford, Department of Economics.
  18. André K. Anundsen & Ragnar Nymoen, 2015. "Did US consumers ‘save for a rainy day’ before the Great Recession?," Working Paper 2015/08, Norges Bank.
  19. Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry & Ragnar Nymoen, 2012. "Mis-specification Testing: Non-Invariance of Expectations Models of Inflation," Working Paper Series 50_12, The Rimini Centre for Economic Analysis.
  20. A. Chudik & G. Kapetanios & M. Hashem Pesaran, 2016. "Big Data Analytics: A New Perspective," Cambridge Working Papers in Economics 1611, Faculty of Economics, University of Cambridge.
  21. Emerson Fernandes Marçal & Priscila Fernandes Ribeiro, 2011. "Levado pelos Fundamentos? Estimando o Desalinhamento Cambial Norte-Americano a partir de Técnicas de Cointegração," Discussion Papers 1674, Instituto de Pesquisa Econômica Aplicada - IPEA.
  22. Neil R. Ericsson, 2008. "The fragility of sensitivity analysis: an encompassing perspective," International Finance Discussion Papers 959, Board of Governors of the Federal Reserve System (U.S.).
  23. Espasa, Antoni & Carlomagno, Guillermo, 2014. "The pairwise approach to model a large set of disaggregates with common trends," DES - Working Papers. Statistics and Econometrics. WS ws141309, Universidad Carlos III de Madrid. Departamento de Estadística.
  24. Jennifer Castle & David Hendry & Jurgen A. Doornik, 2008. "Model Selection when there are Multiple Breaks," Economics Series Working Papers 407, University of Oxford, Department of Economics.
  25. Jennifer Castle & David Hendry, 2013. "Forecasting and Nowcasting Macroeconomic Variables: A Methodological Overview," Economics Series Working Papers 674, University of Oxford, Department of Economics.
  26. BAUWENS, Luc & SUCARRAT, Genaro, 2006. "General to specific modelling of exchange rate volatility: a forecast evaluation," CORE Discussion Papers 2006021, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  27. David Hendry & Jennifer L. Castle, 2010. "Model Selection in Under-specified Equations Facing Breaks," Economics Series Working Papers 509, University of Oxford, Department of Economics.
  28. 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.
  29. Søren Johansen & Bent Nielsen, 2014. "Outlier detection algorithms for least squares time series regression," Economics Papers 2014-W04, Economics Group, Nuffield College, University of Oxford.
  30. Marçal, Emerson Fernandes, 2013. "Exchange rate misalignments, interdependence, crises, and currency wars: an empirical assessment," Textos para discussão 348, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  31. Nicholas Apergis & Arusha Cooray, 2013. "Forecasting fiscal variables: Only a strong growth plan can sustain the Greek austerity programs-Evidence from simultaneous and structural models," CAMA Working Papers 2013-25, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  32. Brian Chi-ang Lin & Siqi Zheng & Felix Pretis & Lea Schneider & Jason E. Smerdon & David F. Hendry, 2016. "Detecting Volcanic Eruptions In Temperature Reconstructions By Designed Break-Indicator Saturation," Journal of Economic Surveys, Wiley Blackwell, vol. 30(3), pages 403-429, 07.
  33. M. Mogliani & T. Ferrière, 2016. "Rationality of announcements, business cycle asymmetry, and predictability of revisions. The case of French GDP," Working papers 600, Banque de France.
  34. Davide Pettenuzzo & Halbert White, 2010. "Granger Causality, Exogeneity, Cointegration, and Economic Policy Analysis," Working Papers 36, Brandeis University, Department of Economics and International Businesss School.
  35. Panday, Anjan, 2015. "Impact of monetary policy on exchange market pressure: The case of Nepal," Journal of Asian Economics, Elsevier, vol. 37(C), pages 59-71.
  36. Søren Johansen & Bent Nielsen, 2014. "Optimal hedging with the cointegrated vector autoregressive model," Discussion Papers 14-23, University of Copenhagen. Department of Economics.
  37. Igor Pelipas, 2011. "Structural Breaks and Dynamic Characteristics of Inflation and Growth Rates of Monetary Aggregates," BEROC Working Paper Series 15, Belarusian Economic Research and Outreach Center (BEROC).
  38. David Hendry & Grayham E. Mizon, 2016. "Improving the Teaching of Econometrics," Economics Series Working Papers 785, University of Oxford, Department of Economics.
  39. Søren Johansen & Bent Nielsen, 2013. "Outlier Detection in Regression Using an Iterated One-Step Approximation to the Huber-Skip Estimator," Econometrics, MDPI, Open Access Journal, vol. 1(1), pages 53, May.
  40. Medel, Carlos A., 2015. "Forecasting Inflation with the Hybrid New Keynesian Phillips Curve: A Compact-Scale Global VAR Approach," MPRA Paper 67081, University Library of Munich, Germany.
  41. David Hendry & Grayham E. Mizon, 2013. "Unpredictability in Economic Analysis, Econometric Modeling and Forecasting," Economics Series Working Papers 2013-W04, University of Oxford, Department of Economics.
  42. Ahumada, H. & Cornejo, M., 2016. "Forecasting food prices: The case of corn, soybeans and wheat," International Journal of Forecasting, Elsevier, vol. 32(3), pages 838-848.
  43. Stillwagon, Josh R., 2016. "Non-linear exchange rate relationships: An automated model selection approach with indicator saturation," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 84-109.
  44. Bent Nielsen & Xiyu Jiao, 2016. "Asymptotic Analysis of Iterated 1-step Huber-skip M-estimators with Varying Cut-offs," Economics Papers 2016-W08, Economics Group, Nuffield College, University of Oxford.
  45. repec:kap:iaecre:v:18:y:2012:i:3:p:247-258 is not listed on IDEAS
  46. Jennifer L. Castle & David F. Hendry, 2010. "Nowcasting from disaggregates in the face of location shifts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 200-214.
  47. Bec, Frédérique & Mogliani, Matteo, 2015. "Nowcasting French GDP in real-time with surveys and “blocked” regressions: Combining forecasts or pooling information?," International Journal of Forecasting, Elsevier, vol. 31(4), pages 1021-1042.
  48. Castle, Jennifer L. & Clements, Michael P. & Hendry, David F., 2013. "Forecasting by factors, by variables, by both or neither?," Journal of Econometrics, Elsevier, vol. 177(2), pages 305-319.
  49. Carlos Santos, 2011. "The Euro Sovereign Debt Crisis, Determinants Of Default Probabilities And Implied Ratings In The Cds Market: An Econometric Analysis," Journal of Advanced Studies in Finance, ASERS Publishing, vol. 0(1), pages 53-61, June.
  50. Neil R. Ericsson & Steven B. Kamin, 2008. "Constructive data mining: modeling Argentine broad money demand," International Finance Discussion Papers 943, Board of Governors of the Federal Reserve System (U.S.).
  51. David Hendry & Jurgen A. Doornik & Felix Pretis, 2013. "Step-indicator Saturation," Economics Series Working Papers 658, University of Oxford, Department of Economics.
  52. Alain Hecq & Jan P. A. M. Jacobs & Michalis P. Stamatogiannis, 2016. "Testing for News and Noise in Non-Stationary Time Series Subject to Multiple Historical Revisions," CIRANO Working Papers 2016s-01, CIRANO.
  53. Peter Jensen, 2010. "Testing the null of a low dimensional growth model," Empirical Economics, Springer, vol. 38(1), pages 193-215, February.
  54. Karen Croxson & J. James Reade, 2011. "Information and Efficiency: Goal Arrival in Soccer Betting," Discussion Papers 11-01, Department of Economics, University of Birmingham.
  55. László Kónya & Bekzod Abdullaev, 2015. "Does Ricardian equivalence hold in Australia? A revision based on testing super exogeneity with impulse-indicator saturation," Empirical Economics, Springer, vol. 49(2), pages 423-448, September.
  56. Jennifer Castle & David Hendry, 2008. "The Long-Run Determinants of UK Wages, 1860-2004," Economics Series Working Papers 409, University of Oxford, Department of Economics.
  57. Beltran, Daniel O. & Bolotnyy, Valentin & Klee, Elizabeth C., 2015. "Un-Networking: The Evolution of Networks in the Federal Funds Market," Finance and Economics Discussion Series 2015-55, Board of Governors of the Federal Reserve System (U.S.).
  58. Ryan-Collins, Josh & Werner, Richard A. & Castle, Jennifer, 2016. "A half-century diversion of monetary policy? An empirical horse-race to identify the UK variable most likely to deliver the desired nominal GDP growth rate," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 43(C), pages 158-176.
  59. Konstantin Belyaev & Aelita Belyaeva & Tomas Konecny & Jakub Seidler & Martin Vojtek, 2012. "Macroeconomic Factors as Drivers of LGD Prediction: Empirical Evidence from the Czech Republic," Working Papers 2012/12, Czech National Bank, Research Department.
  60. repec:fgv:epgrbe:v:68:n:2:a:5 is not listed on IDEAS
  61. Jennifer Castle & David Hendry, 2012. "Forecasting by factors, by variables, or both?," Economics Series Working Papers 600, University of Oxford, Department of Economics.
  62. Josh R. Stillwagon, 2015. "TIPS and the VIX: Non-linear Spillovers from Financial Panic to Breakeven Inflation," Working Papers 1502, Trinity College, Department of Economics.
  63. Roman Frydman & Joshua R. Stillwagon, 2016. "Stock-Market Expectations: Econometric Evidence that both REH and Behavioral Insights Matter," Working Papers Series 44, Institute for New Economic Thinking.
  64. Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry & Felix Pretis, 2015. "Detecting Location Shifts during Model Selection by Step-Indicator Saturation," Econometrics, MDPI, Open Access Journal, vol. 3(2), pages 240, April.
  65. David Hendry & Jurgen A. Doornik, 2014. "Statistical Model Selection with 'Big Data'," Economics Series Working Papers 735, University of Oxford, Department of Economics.
  66. Ahumada, Hildegart A. & Garegnani, Maria Lorena, 2012. "Forecasting a monetary aggregate under instability: Argentina after 2001," International Journal of Forecasting, Elsevier, vol. 28(2), pages 412-427.
  67. Felix Pretis & Michael Mann & Robert Kaufmann, 2015. "Testing competing models of the temperature hiatus: assessing the effects of conditioning variables and temporal uncertainties through sample-wide break detection," Climatic Change, Springer, vol. 131(4), pages 705-718, August.
  68. Jennifer Castle & David Hendry & Michael P. Clements, 2016. "An Overview of Forecasting Facing Breaks," Economics Series Working Papers 779, University of Oxford, Department of Economics.
  69. Espasa, Antoni & Carlomagno, Guillermo, 2015. "Forecasting a large set of disaggregates with common trends and outliers," DES - Working Papers. Statistics and Econometrics. WS ws1518, Universidad Carlos III de Madrid. Departamento de Estadística.
  70. Ericsson Neil R., 2016. "Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(4), pages 377-398, September.
  71. Adam Gersl & Petr Jakubik & Tomas Konecny & Jakub Seidler, 2013. "Dynamic Stress Testing: The Framework for Assessing the Resilience of the Banking Sector Used by the Czech National Bank," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(6), pages 505-536, December.
  72. Chevillon, Guillaume, 2016. "Multistep forecasting in the presence of location shifts," International Journal of Forecasting, Elsevier, vol. 32(1), pages 121-137.
  73. Igor Pelipas, 2012. "Multiple Structural Breaks and Inflation Persistance in Belarus," BEROC Working Paper Series 21, Belarusian Economic Research and Outreach Center (BEROC).
  74. Adam Gersl & Petr Jakubik & Tomas Konecny & Jakub Seidler, 2012. "Dynamic Stress Testing: The Framework for Testing Banking Sector Resilience Used by the Czech National Bank," Working Papers 2012/11, Czech National Bank, Research Department.
  75. Santos, Carlos, 2008. "Impulse saturation break tests," Economics Letters, Elsevier, vol. 98(2), pages 136-143, February.
  76. repec:bot:quadip:118 is not listed on IDEAS
  77. 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.
  78. J. James Reade & Ulrich Volz, 2011. "From the General to the Specific," Discussion Papers 11-18, Department of Economics, University of Birmingham.
  79. Jennifer Castle & David Hendry, 2013. "Semi-automatic Non-linear Model selection," Economics Series Working Papers 654, University of Oxford, Department of Economics.
  80. Blake LeBaron, 2013. "Heterogeneous Agents and Long Horizon Features of Asset Prices," Working Papers 63, Brandeis University, Department of Economics and International Businesss School, revised Sep 2013.
  81. Rocha, Jordano Vieira & Pereira, Pedro L. Valls, 2015. "Forecast comparison with nonlinear methods for Brazilian industrial production," Textos para discussão 397, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  82. Jennifer Castle & David Hendry, 2010. "Automatic Selection for Non-linear Models," Economics Series Working Papers 473, University of Oxford, Department of Economics.
  83. Hendry, David F., 2011. "On adding over-identifying instrumental variables to simultaneous equations," Economics Letters, Elsevier, vol. 111(1), pages 68-70, April.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.