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General-to-Specific Modeling : An Overview and Selected Bibliography

Campos, Julia; Ericsson, Neil R.; Hendry, David F. - 2005

of reduction, summarizes the approach of general-to-specific modeling, and discusses the econometrics of model selection …This paper discusses the econometric methodology of general-to-specific modeling, in which the modeler simplifies an …, noting that general-to-specific modeling is the practical embodiment of reduction. This paper then summarizes fifty …

Persistent link: https://www.econbiz.de/10014062671

An automatic test of super exogeneity

Hendry, David F.; Santos, Carlos - 2010

Persistent link: https://www.econbiz.de/10003942773

Empirical model discovery and theory evaluation : automatic selection methods in econometrics

Hendry, David F. - 2014

Persistent link: https://www.econbiz.de/10013481413

Statistical model selection with "Big Data"

Doornik, Jurgen A.; Hendry, David F. - In: Cogent economics & finance 3 (2015) 1, pp. 1-15

Big Data offer potential benefits for statistical modelling, but confront problems including an excess of false positives, mistaking correlations for causes, ignoring sampling biases and selecting by inappropriate methods. We consider the many important requirements when searching for a...

Persistent link: https://www.econbiz.de/10011449713

Detecting location shifts during model selection by step-indicator saturation

Castle, Jennifer; Doornik, Jurgen A.; Hendry, David F.; … - In: Econometrics : open access journal 3 (2015) 2, pp. 240-264

To capture location shifts in the context of model selection, we propose selecting significant step indicators from a saturating set added to the union of all of the candidate variables. The null retention frequency and approximate non-centrality of a selection test are derived using a...

Persistent link: https://www.econbiz.de/10011297656