Outliers and model selection: Discussion of the paper by Søren Johansen and Bent Nielsen

DOI10.1111/SJOS.12208MaRDI QIDQ2815580zbMATHOpenAlexFDO

Authors Jurgen A. Doornik, David F. Hendry

Publication date 29 June 2016

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://ora.ox.ac.uk/objects/uuid:ed029445-dd4c-491c-88ea-8957cdb13f7f

zbMATH Keywords

model selectionrobust estimationimpulse indicator saturation

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07)

Recommendations

• Automatic selection of indicators in a fully saturated regression
• Econometric modelling of time series with outlying observations
• Robust Linear Model Selection by Cross-Validation
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• scientific article; zbMATH DE number 1034041

Cites work

• scientific article; zbMATH DE number 6811479 (Why is no real title available?)
• Econometric modelling of time series with outlying observations
• Exogeneity
• Forward search added-variable t-tests and the effect of masked outliers on model selection
• The Methodology and Practice of Econometrics
• Unpredictability in economic analysis, econometric modeling and forecasting

Cited in

(4)

• Discussion of `Asymptotic theory of outlier detection algorithms for linear time series regression models' by Johansen and Nielsen
• Model selection in under-specified equations facing breaks
• Econometric modelling of time series with outlying observations
• Automatic selection of indicators in a fully saturated regression

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