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~institution:"Centre for Microdata Methods and Practice (CEMMAP)"
~institution:"Department of Economics, University of Victoria"
~institution:"Rimini Centre for Economic Analysis (RCEA)"
~subject:"Monte Carlo"
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Monte Carlo
model selection
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cointegration
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fuzzy clustering
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model averaging
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Model selection
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inference under imperfect model selection
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information criteria
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lag length selection
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model selection by marginal likelihoods
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model selection methods
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multi-normal-gamma distribution
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Castle, Jennifer L.
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Centre for Microdata Methods and Practice (CEMMAP)
Department of Economics, University of Victoria
Rimini Centre for Economic Analysis (RCEA)
Department of Economics, Oxford University
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Royal Economic Society - RES
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Model
Selection
in Equations with Many 'Small' Effects
Castle, Jennifer L.
;
Doornik, Jurgen A.
;
Hendry, David F.
-
Rimini Centre for Economic Analysis (RCEA)
-
2012
effects, and irrelevant variables. Automatic
model
selection
procedures can handle more candidate variables than observations …
Persistent link: https://www.econbiz.de/10010555885
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