Computer automation of general-to-specific model selection procedures
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Cites work
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- Revisiting useful approaches to data-rich macroeconomic forecasting
- Forecasting inflation and GDP growth using heuristic optimisation of information criteria and variable reduction methods
- Achievements and challenges in econometric methodology
- Impulse saturation break tests
- Variable selection In regression models using global sensitivity analysis
- Simple and reliable estimators of coefficients of interest in a model with high-dimensional confounding effects
- Recent developments in parameter estimation and structure identification of biochemical and genomic systems
- Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector
- General-to-specific or specific-to-general modelling? An opinion on current econometric terminology
- Are disaggregate data useful for factor analysis in forecasting French GDP?
- Are more data always better for factor analysis? Results for the euro area, the six largest euro area countries and the UK
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- Vision and influence in econometrics: John Denis Sargan
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- Evaluating automatic model selection
- Variable selection and forecasting via automated methods for linear models: LASSO/adaLASSO and autometrics
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