Sir Clive W. J. Granger model selection

zbMATH Open1359.62066MaRDI QIDQ2971503FDOQ2971503

Authors: Jennifer L. Castle 

Publication date: 5 April 2017

Full work available at URL: http://www.ejpam.com/index.php/ejpam/article/view/2954

Recommendations

• Sir Clive W. J. Granger's contributions to forecasting
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• The Model Confidence Set
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zbMATH Keywords

model selectionmodel averagingClive Grangerthick modelling

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical ranking and selection procedures (62F07) Economic time series analysis (91B84)

Cites Work

• Estimating the dimension of a model
• Bayesian model averaging: A tutorial. (with comments and a rejoinder).
• Title not available (Why is that?)
• Title not available (Why is that?)
• Bagging predictors
• Least-squares forecast averaging
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• Ridge Regression: Applications to Nonorthogonal Problems
• Title not available (Why is that?)
• Tests of Equality Between Sets of Coefficients in Two Linear Regressions
• Better Subset Regression Using the Nonnegative Garrote
• The past and future of empirical finance: some personal comments
• Forecasting non-stationary economic time series. With a foreword by Katarina Juselius
• Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables
• Dynamic Econometrics
• Title not available (Why is that?)
• Pooling of forecasts
• The Encompassing Principle and its Application to Testing Non-Nested Hypotheses
• Forecasting Economic Time Series
• Title not available (Why is that?)
• Title not available (Why is that?)
• Evaluating Automatic Model Selection
• Model selection when there are multiple breaks
• Automatic selection of indicators in a fully saturated regression
• Comments on testing economic theories and the use of model selection criteria
• Computational Efficiency in the Selection of Regression Variables
• A DIALOGUE CONCERNING A NEW INSTRUMENT FOR ECONOMETRIC MODELING
• Asymptotic theory of outlier detection algorithms for linear time series regression models
• Model selection in under-specified equations facing breaks
• MODEL DISCOVERY AND TRYGVE HAAVELMO’S LEGACY

Uses Software

• PcGets

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