Econometric Model Determination
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Publication:4895047
DOI10.2307/2171845zbMATH Open0899.62144OpenAlexW2116699268MaRDI QIDQ4895047FDOQ4895047
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
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reduced rank regressionorder selectionPICBayesian vector autoregressionevolving modelasymptotic predictive oddsvector embedding
Bayesian inference (62F15) Applications of statistics to economics (62P20) Economic time series analysis (91B84)
Cited In (58)
- BAYESIAN REFERENCE ANALYSIS OF COINTEGRATION
- Bayesian Analysis of DSGE Models
- ADMISSIBLE AND NONADMISSIBLE TESTS IN UNIT-ROOT-LIKE SITUATIONS
- A DIALOGUE CONCERNING A NEW INSTRUMENT FOR ECONOMETRIC MODELING
- Efficient tests for unit roots with prediction errors
- LARGE SAMPLE PROPERTIES OF BAYESIAN ESTIMATION OF SPATIAL ECONOMETRIC MODELS
- Title not available (Why is that?)
- DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER
- Statistical inference in regression with heavy-tailed integrated variables
- THE ET INTERVIEW: PROFESSOR DAVID F. HENDRY: Interviewed by Neil R. Ericsson
- Model selection in the presence of nonstationarity
- Quasi-Bayesian model selection
- AUTOMATED INFERENCE AND THE FUTURE OF ECONOMETRICS: A COMMENT
- Title not available (Why is that?)
- Title not available (Why is that?)
- Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
- Semiparametric cointegrating rank selection
- Lag length selection in panel autoregression
- Reduced forms and weak instrumentation
- Comparing dynamic equilibrium models to data: a Bayesian approach
- AUTOMATED DISCOVERY IN ECONOMETRICS
- REAL-TIME ECONOMETRICS
- A CUSUM test for cointegration using regression residuals
- THE ASYMPTOTIC DISTRIBUTION OF THE COINTEGRATION RANK ESTIMATOR UNDER THE AKAIKE INFORMATION CRITERION
- A REVIEW OF SYSTEMS COINTEGRATION TESTS
- Joint Selection of the Model and the Information Set in Heteroskedastic Dynamic Models
- Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration
- 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
- CHALLENGES FOR ECONOMETRIC MODEL SELECTION
- New unit root asymptotics in the presence of deterministic trends.
- Bootstrapping Autoregression under Non-stationary Volatility
- IDENTIFYING LATENT GROUPED PATTERNS IN COINTEGRATED PANELS
- Forecasting cointegrated nonstationary time series with time-varying variance
- (WHEN) DO LONG AUTOREGRESSIONS ACCOUNT FOR NEGLECTED CHANGES IN PARAMETERS?
- Economic variable selection
- An alternative quasi likelihood approach, Bayesian analysis and data-based inference for model specification
- Cointegrating rank selection in models with time-varying variance
- Normality of Posterior Distribution Under Misspecification and Nonsmoothness, and Bayes Factor for Davies' Problem
- A MONTE CARLO STUDY ON THE SELECTION OF COINTEGRATING RANK USING INFORMATION CRITERIA
- Kernel-based inference in time-varying coefficient cointegrating regression
- IN MEMORY OF JOHN DENIS SARGAN
- J. DENIS SARGAN AND THE ORIGINS OF LSE ECONOMETRIC METHODOLOGY
- VISION AND INFLUENCE IN ECONOMETRICS: JOHN DENIS SARGAN
- 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
- AUTOMATED ESTIMATION OF VECTOR ERROR CORRECTION MODELS
- 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
- Empirical Limits for Time Series Econometric Models
- Optimal estimation under nonstandard conditions
- OPTIMAL MULTISTEP VAR FORECAST AVERAGING
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