Model selection when there are multiple breaks

DOI10.1016/J.JECONOM.2012.01.026zbMATH Open1443.62436OpenAlexW2018100303MaRDI QIDQ528000FDOQ528000

Authors: Jennifer L. Castle, Jurgen A. Doornik, David F. Hendry 

Publication date: 12 May 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://ora.ox.ac.uk/objects/uuid:42a3da85-d53c-4d21-a513-4a6f6c01c832

Recommendations

• Model selection in under-specified equations facing breaks
• Variable selection in panel models with breaks
• Estimating and Testing Linear Models with Multiple Structural Changes
• Model selection criteria in multivariate models with multiple structural changes
• Selection of estimation window in the presence of breaks

zbMATH Keywords

model selectionautometricsimpulse-indicator saturationlocation shifts

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Estimating the dimension of a model
• Estimating and Testing Linear Models with Multiple Structural Changes
• MODEL SELECTION AND INFERENCE: FACTS AND FICTION
• Title not available (Why is that?)
• Title not available (Why is that?)
• Autometrics
• Title not available (Why is that?)
• Title not available (Why is that?)
• Evaluating automatic model selection
• The Methodology and Practice of Econometrics

Cited In (12)

• Misspecification testing: non-invariance of expectations models of inflation
• Outliers and model selection: Discussion of the paper by Søren Johansen and Bent Nielsen
• MODEL DISCOVERY AND TRYGVE HAAVELMO’S LEGACY
• Sir Clive W. J. Granger model selection
• Testing for structural stability of factor augmented forecasting models
• Multiple structural breaks in cointegrating regressions: a model selection approach
• Forecasting by factors, by variables, by both or neither?
• Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector
• Variable selection in panel models with breaks
• Unpredictability in economic analysis, econometric modeling and forecasting
• Model selection in under-specified equations facing breaks
• The nexus between national and regional reporting of economic news: evidence from the United Kingdom and Scotland

Uses Software

• PcGets
• PcGive
• Ox

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