Econometric Model Determination

DOI10.2307/2171845MaRDI QIDQ4895047zbMATH OpenOpenAlexFDO

Authors Peter C. B. Phillips

Publication date 13 October 1996

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/13fc6bf5e38f7d49c10f5ce9f3538033ec03bc67

zbMATH Keywords

reduced rank regressionorder selectionPICBayesian vector autoregressionevolving modelasymptotic predictive oddsvector embedding

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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Cited in

(58)

• Empirical Limits for Time Series Econometric Models
• BAYESIAN REFERENCE ANALYSIS OF COINTEGRATION
• Identifying latent grouped patterns in cointegrated panels
• ADMISSIBLE AND NONADMISSIBLE TESTS IN UNIT-ROOT-LIKE SITUATIONS
• Bayesian Analysis of DSGE Models
• A DIALOGUE CONCERNING A NEW INSTRUMENT FOR ECONOMETRIC MODELING
• Normality of posterior distribution under misspecification and nonsmoothness, and Bayes factor for Davies' problem
• Efficient tests for unit roots with prediction errors
• scientific article; zbMATH DE number 4176285 (Why is no real title available?)
• LARGE SAMPLE PROPERTIES OF BAYESIAN ESTIMATION OF SPATIAL ECONOMETRIC MODELS
• Statistical inference in regression with heavy-tailed integrated variables
• Automated estimation of vector error correction models
• Vision and influence in econometrics: John Denis Sargan
• Model selection in the presence of nonstationarity
• THE ET INTERVIEW: PROFESSOR DAVID F. HENDRY: Interviewed by Neil R. Ericsson
• Quasi-Bayesian model selection
• Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
• AUTOMATED INFERENCE AND THE FUTURE OF ECONOMETRICS: A COMMENT
• scientific article; zbMATH DE number 5548414 (Why is no real title available?)
• Semiparametric cointegrating rank selection
• scientific article; zbMATH DE number 3992753 (Why is no real title available?)
• Comparing dynamic equilibrium models to data: a Bayesian approach
• Lag length selection in panel autoregression
• Reduced forms and weak instrumentation
• AUTOMATED DISCOVERY IN ECONOMETRICS
• REAL-TIME ECONOMETRICS
• A CUSUM test for cointegration using regression residuals
• A REVIEW OF SYSTEMS COINTEGRATION TESTS
• THE ASYMPTOTIC DISTRIBUTION OF THE COINTEGRATION RANK ESTIMATOR UNDER THE AKAIKE INFORMATION CRITERION
• Optimal multistep VAR forecast averaging
• Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration
• Joint Selection of the Model and the Information Set in Heteroskedastic Dynamic Models
• Finite Sample Performances of the Model Selection Approach in Nonparametric Model Specification for Time Series
• Variable selection In regression models using global sensitivity analysis
• Trending time series and macroeconomic activity: Some present and future challenges
• Invariant Bayesian inference in regression models that is robust against the Jeffreys-Lindley's paradox
• New unit root asymptotics in the presence of deterministic trends.
• CHALLENGES FOR ECONOMETRIC MODEL SELECTION
• Forecasting cointegrated nonstationary time series with time-varying variance
• Bootstrapping Autoregression under Non-stationary Volatility
• (WHEN) DO LONG AUTOREGRESSIONS ACCOUNT FOR NEGLECTED CHANGES IN PARAMETERS?
• Cointegrating rank selection in models with time-varying variance
• Determining the cointegration rank in heteroskedastic VAR models of unknown order
• An alternative quasi likelihood approach, Bayesian analysis and data-based inference for model specification
• Economic variable selection
• Kernel-based inference in time-varying coefficient cointegrating regression
• A MONTE CARLO STUDY ON THE SELECTION OF COINTEGRATING RANK USING INFORMATION CRITERIA
• IN MEMORY OF JOHN DENIS SARGAN
• J. DENIS SARGAN AND THE ORIGINS OF LSE ECONOMETRIC METHODOLOGY
• Variable selection in STAR models with neighbourhood effects using genetic algorithms
• A modified information criterion for cointegration tests based on a VAR approximation
• Finite sample performance of the model selection approach in co-integration analysis
• A loss function approach to model specification testing and its relative efficiency
• Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
• Nonstationary nonlinearity: a survey on Peter Phillips's contributions with a new perspective
• A frequentist approach to Bayesian asymptotics
• On asymptotic risk of selecting models for possibly nonstationary time-series
• Optimal estimation under nonstandard conditions

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