Automatic selection of indicators in a fully saturated regression

DOI10.1007/S00180-007-0054-ZzbMATH Open1222.62091OpenAlexW2076366092MaRDI QIDQ626211FDOQ626211

Authors: Juan-Miguel Gracia 

Publication date: 22 February 2011

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10400.14/6624

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zbMATH Keywords

outliersvariance estimationmeancontaminated samples

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Robustness and adaptive procedures (parametric inference) (62F35)

Cites Work

• Dynamic Econometrics
• Computer automation of general-to-specific model selection procedures
• The use of dummy variables to compute predictions, prediction errors, and confidence intervals

Cited In (15)

• On adding over-identifying instrumental variables to simultaneous equations
• Misspecification testing: non-invariance of expectations models of inflation
• Outliers and model selection: Discussion of the paper by Søren Johansen and Bent Nielsen
• Sir Clive W. J. Granger model selection
• A dynamic econometric analysis of the dollar-pound exchange rate in an era of structural breaks and policy regime shifts
• Forecasting by factors, by variables, by both or neither?
• Exploiting infinite variance through dummy variables in nonstationary autoregressions
• Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector
• Sieve bootstrap inference for linear time-varying coefficient models
• Testing for coefficient distortion due to outliers with an application to the economic impacts of climate change
• Unpredictability in economic analysis, econometric modeling and forecasting
• Asymptotic analysis of iterated 1-step Huber-skip M-estimators with varying cut-offs
• Variable selection with spatially autoregressive errors: a generalized moments Lasso estimator
• Granger causality, exogeneity, cointegration, and economic policy analysis
• Nowcasting from disaggregates in the face of location shifts

Uses Software

• PcGets
• Ox

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