Model selection when there are multiple breaks

DOI10.1016/J.JECONOM.2012.01.026MaRDI QIDQ528000zbMATHOpenAlexFDO

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

Publication date 12 May 2017

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

Full work available at URL https://ora.ox.ac.uk/objects/uuid:42a3da85-d53c-4d21-a513-4a6f6c01c832

zbMATH Keywords

model selectionautometricsimpulse-indicator saturationlocation shifts

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Recommendations

• Model selection in under-specified equations facing breaks
• Variable selection in panel models with breaks
• Estimating and Testing Linear Models with Multiple Structural Changes
• Model selection criteria in multivariate models with multiple structural changes
• Selection of estimation window in the presence of breaks

Cites work

• scientific article; zbMATH DE number 5984104 (Why is no real title available?)
• scientific article; zbMATH DE number 5145287 (Why is no real title available?)
• scientific article; zbMATH DE number 3614055 (Why is no real title available?)
• scientific article; zbMATH DE number 6811479 (Why is no real title available?)
• Autometrics
• Estimating and Testing Linear Models with Multiple Structural Changes
• Estimating the dimension of a model
• Evaluating automatic model selection
• MODEL SELECTION AND INFERENCE: FACTS AND FICTION
• The Methodology and Practice of Econometrics

Cited in

(12)

• Outliers and model selection: Discussion of the paper by Søren Johansen and Bent Nielsen
• Forecasting by factors, by variables, by both or neither?
• Variable selection in panel models with breaks
• Model selection in under-specified equations facing breaks
• MODEL DISCOVERY AND TRYGVE HAAVELMO’S LEGACY
• Misspecification testing: non-invariance of expectations models of inflation
• Unpredictability in economic analysis, econometric modeling and forecasting
• The nexus between national and regional reporting of economic news: evidence from the United Kingdom and Scotland
• Testing for structural stability of factor augmented forecasting models
• Multiple structural breaks in cointegrating regressions: a model selection approach
• Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector
• Sir Clive W. J. Granger model selection

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Uses Software

• PcGets
• PcGive
• Ox

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