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

DOI10.1111/SJOS.12208zbMATH Open1419.62227OpenAlexW2523359050MaRDI QIDQ2815580FDOQ2815580

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

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• scientific article; zbMATH DE number 1034041

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)

Cites Work

• Exogeneity
• Forward search added-variable t-tests and the effect of masked outliers on model selection
• Title not available (Why is that?)
• The Methodology and Practice of Econometrics
• Unpredictability in economic analysis, econometric modeling and forecasting
• Econometric Modelling of Time Series with Outlying Observations

Cited In (2)

• Automatic selection of indicators in a fully saturated regression
• Discussion of `Asymptotic theory of outlier detection algorithms for linear time series regression models' by Johansen and Nielsen

Uses Software

• PcGive
• Ox

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