Search Results - subject:"Model Selection"

Objective Bayes Factors for Gaussian Directed Acyclic Graphical Models

Consonni, Guido; La Rocca, Luca - Dipartimento di Scienze Economiche e Aziendali, … - 2011

We propose an objective Bayesian method for the comparison of all Gaussian directed acyclic graphical models defined on a given set of variables. The method, which is based on the notion of fractional Bayes factor, requires a single default (typically improper) prior on the space of...

Persistent link: https://www.econbiz.de/10009651063

Bayesian Factor Selection in Dynamic Term Structure Models

Laurini, Marcio - In: Economics Bulletin 31 (2011) 3, pp. 2167-2176

This paper discusses Bayesian procedures for factor selection in dynamic term structure models through simulation methods based on Markov Chain Monte Carlo. The number of factors, besides influencing the fitting and prediction of observed yields, is also relevant to features such as the...

Persistent link: https://www.econbiz.de/10009207368

Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques

Kock, Anders Bredahl; Teräsvirta, Timo - School of Economics and Management, University of Aarhus - 2011

a linear model selection and estimation problem. He called this procedure the QuickNet and we shall compare its …

Persistent link: https://www.econbiz.de/10009277000

Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search

Grassi, Stefano; Proietti, Tommaso - School of Economics and Management, University of Aarhus - 2011

An important issue in modelling economic time series is whether key unobserved components representing trends, seasonality and calendar components, are deterministic or evolutive. We address it by applying a recently proposed Bayesian variable selection methodology to an encompassing linear...

Persistent link: https://www.econbiz.de/10009293967

Estimating and predicting the distribution of the number of visits to the medical doctor

Dai, Jing; Sperlich, Stefan; Zucchini, Walter - Volkswirtschaft Abteilung, Fachbereich … - 2011

In many countries the demand for health care services is of increasing importance. Especially in the industrialized world with a changing demographic structure social insurances and politics face real challenges. Reliable predictors of those demand functions will therefore become invaluable...

Persistent link: https://www.econbiz.de/10010612067

On the Usefulness of the Diebold-Mariano Test in the Selection of Prediction Models

Costantini, Mauro; Kunst, Robert M. - Department of Economics and Finance Research and … - 2011

In evaluating prediction models, many researchers flank comparative ex-ante prediction experiments by significance tests on accuracy improvement, such as the Diebold-Mariano test. We argue that basing the choice of prediction models on such significance tests is problematic, as this practice may...

Persistent link: https://www.econbiz.de/10010615116

The Properties of Model Selection when Retaining Theory Variables

Hendry, David F.; Johansen, Søren - School of Economics and Management, University of Aarhus - 2011

Economic theories are often fitted directly to data to avoid possible model selection biases. We show that embedding a …

Persistent link: https://www.econbiz.de/10009359474

The Properties of Model Selection when Retaining Theory Variables

Hendry, David F.; Johansen, Søren - Økonomisk Institut, Københavns Universitet - 2011

Economic theories are often fitted directly to data to avoid possible model selection biases. We show that embedding a …

Persistent link: https://www.econbiz.de/10009360167

The Hodrick-Prescott (HP) Filter as a Bayesian Regression Model

Polasek, Wolfgang - Rimini Centre for Economic Analysis (RCEA) - 2011

The Hodrick-Prescott (HP) method is a popular smoothing method for economic time series to get a smooth or long-term component of stationary series like growth rates. We show that the HP smoother can be viewed as a Bayesian linear model with a strong prior using differencing matrices for the...

Persistent link: https://www.econbiz.de/10009364166

A Tale of 3 Cities: Model Selection in Over-, Exact, and Under-specified Equations

Castle, Jennifer; Hendry, David - Department of Economics, Oxford University - 2011

Model selection from a general unrestricted model (GUM) can potentially confront three very different environments … are correctly included, but some are omitted, leading to under-specification. We review the analysis of model selection … - reveals that model selection can excel relative to just fitting a prior specification, yet has very low costs when an exact …

Persistent link: https://www.econbiz.de/10008799895