Evaluating automatic model selection

DOI10.2202/1941-1928.1097MaRDI QIDQ4928536zbMATH OpenOpenAlexFDO

Authors Jennifer L. Castle, Jurgen A. Doornik, David F. Hendry

Publication date 14 June 2013

Published in Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2202/1941-1928.1097

zbMATH Keywords

model selectionAutometricscosts of inferencecosts of search

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Stochastic models in economics (91B70)

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• CHALLENGES FOR ECONOMETRIC MODEL SELECTION
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• Asymptotic theory of outlier detection algorithms for linear time series regression models
• Model selection in under-specified equations facing breaks
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• Model selection using information criteria and genetic algorithms
• Modelbuilder -- an automated general-to-specific modelling tool
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