Model Selection when there are Multiple Breaks.

Model Selection when there are Multiple Breaks.

Veure altres versions (2)

We consider selecting an econometric model when there is uncertainty over both the choice of variables and the occurrence and timing of multiple location shifts. The theory of general-to-simple (Gets) selection is outlined and its efficacy demonstrated in a new set of simulation experiments first f...

Descripció completa

Dades bibliogràfiques
Autors principals:	Castle, J, Doornik, J, Hendry, D
Format:	Working paper
Idioma:	English
Publicat:	Department of Economics (University of Oxford) 2008

Ítems similars

Model selection when there are multiple breaks
per: Castle, J, et al.
Publicat: (2008)

Model selection when there are multiple breaks
per: Castle, J, et al.
Publicat: (2012)

Evaluating Automatic Model Selection.
per: Castle, J, et al.
Publicat: (2010)

Evaluating automatic model selection
per: Castle, J, et al.
Publicat: (2010)

Evaluating Automatic Model Selection
per: Doornik, J, et al.
Publicat: (2011)

Model Selection in Under-specified Equations Facing Breaks.
per: Castle, J, et al.
Publicat: (2010)

Model selection in under-specified equations facing breaks
per: Castle, J, et al.
Publicat: (2014)

Model selection in under-specified equations facing breaks
per: Hendry, D, et al.
Publicat: (2010)

Model Selection in Equations with Many 'Small' Effects.
per: Castle, J, et al.
Publicat: (2011)

Model selection in equations with many 'small' effects
per: Castle, J, et al.
Publicat: (2013)

Selecting a model for forecasting
per: Castle, J, et al.
Publicat: (2021)

Forecasting breaks and forecasting during breaks.
per: Castle, J, et al.
Publicat: (2011)

Forecasting breaks and forecasting during breaks
per: Castle, J, et al.
Publicat: (2011)

Robust discovery of regression models
per: Castle, J, et al.
Publicat: (2021)

Modeling non-stationary ‘big data’
per: Castle, J, et al.
Publicat: (2020)

Modelling non-stationary 'Big data'
per: Castle, J, et al.
Publicat: (2020)

Testing the invariance of expectations models of inflation
per: Hendry, D, et al.
Publicat: (2010)

Selecting a Model for Forecasting
per: Jennifer L. Castle, et al.
Publicat: (2021-06-01)

Detecting location shifts during model selection by step-indicator saturation
per: Castle, JL, et al.
Publicat: (2015)

Improving models and forecasts after equilibrium-mean shifts
per: Castle, J, et al.
Publicat: (2023)

Forecasting with Equilibrium-correction Models during Structural Breaks.
per: Castle, J, et al.
Publicat: (2008)

Forecasting with equilibrium-correction models during structural breaks
per: Castle, J, et al.
Publicat: (2008)

Forecasting with Equilibrium-correction Models during Structural Breaks.
per: Castle, J, et al.
Publicat: (2010)

Forecasting with equilibrium-correction models during structural breaks
per: Castle, J, et al.
Publicat: (2010)

Outliers and model selection: discussion of the paper by Søren Johansen and Bent Nielsen
per: Doornik, J, et al.
Publicat: (2016)

An overview of forecasting facing breaks
per: Castle, J, et al.
Publicat: (2016)

An overview of forecasting facing breaks
per: Castle, J, et al.
Publicat: (2016)

Testing the Invariance of Expectations Models of Inflation.
per: Castle, J, et al.
Publicat: (2010)

Forecasting UK Inflation: the Roles of Structural Breaks and Time Disaggregation
per: Castle, J, et al.
Publicat: (2007)

Forecasting UK inflation: the roles of structural breaks and time disaggregation
per: Castle, J, et al.
Publicat: (2007)

Forecasting UK inflation: the roles of structural breaks and time disaggregation
per: Castle, J, et al.
Publicat: (2007)

Misspecification Testing: Non-Invariance of Expectations Models of Inflation
per: Castle, J, et al.
Publicat: (2014)

Forecasting facing economic shifts, climate change and evolving pandemics
per: Castle, J, et al.
Publicat: (2021)

Statistical model selection with 'big data'
per: Doornik, JA, et al.
Publicat: (2014)

Statistical model selection with ‘Big Data’
per: Doornik, JA, et al.
Publicat: (2015)

The value of robust statistical forecasts in the COVID-19 pandemic
per: Castle, JL, et al.
Publicat: (2021)

Modeling and forecasting the COVID-19 pandemic time-series data
per: Doornik, JA, et al.
Publicat: (2021)

Detecting Location Shifts during Model Selection by Step-Indicator Saturation
per: Jennifer L. Castle, et al.
Publicat: (2015-04-01)

Automatic Selection for Non-linear Models.
per: Castle, J, et al.
Publicat: (2009)

Automatic selection for non-linear models
per: Castle, J, et al.
Publicat: (2010)