A DIALOGUE CONCERNING A NEW INSTRUMENT FOR ECONOMETRIC MODELING

DOI10.1017/S0266466605050164MaRDI QIDQ5697635zbMATH OpenFDO

Authors Clive W. J. Granger, David F. Hendry

Publication date 18 October 2005

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S0266466605050164

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20)

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Cites work

• Dangers of data mining: The case of calendar effects in stock returns
• Econometric Model Determination
• Estimating the dimension of a model
• Fitting autoregressive models for prediction
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Inference in Linear Time Series Models with some Unit Roots
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• THE FINITE-SAMPLE DISTRIBUTION OF POST-MODEL-SELECTION ESTIMATORS AND UNIFORM VERSUS NONUNIFORM APPROXIMATIONS
• The Focused Information Criterion

Cited in

(7)

• Achievements and challenges in econometric methodology
• Model selection in under-specified equations facing breaks
• Sir Clive W. J. Granger memorial special issue on econometrics: an introduction
• Sir Clive W. J. Granger model selection
• Review of PcGets 1 for Windows
• A COMPARISON OF COMPLEMENTARY AUTOMATIC MODELING METHODS: RETINA AND PcGets
• Testing regression coefficients after model selection through sign restrictions

Describes a project that uses

Uses Software

• PcGets
• PcGive

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