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The Bernoulli model, from Econometric Modeling: A Likelihood Approach

Hendry, David F.; Nielsen, Bent - Princeton University Press

Econometric Modeling provides a new and stimulating introduction to econometrics, focusing on modeling. The key … Nielsen introduce modeling for a range of situations, including binary data sets, multiple regression, and cointegrated …, forecasting, and model selection are covered, and Monte Carlo simulation is explained and applied.Econometric Modeling …

Persistent link: https://www.econbiz.de/10005453782

Preface to Econometric Modeling: A Likelihood Approach

Hendry, David F.; Nielsen, Bent - Princeton University Press

Persistent link: https://www.econbiz.de/10005453801

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

Unpredictability in economic analysis, econometric modeling and forecasting

Hendry, David F.; Mizon, Grayham E. - In: Journal of econometrics 182 (2014) 1, pp. 186-195

Persistent link: https://www.econbiz.de/10010497091

Statistical model selection with 'big data'

Doornik, Jurgen A.; Hendry, David F. - 2014

Persistent link: https://www.econbiz.de/10010442444

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