Automatic Selection for Non-linear Models.

Our strategy for automatic selection in potentially non-linear processes is: test for non-linearity in the unrestricted linear formulation; if that test rejects, specify a general model using polynomials, to be simplified to a minimal congruent representation; finally select by encompassing tests of...

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Detalles Bibliográficos
Autores principales: Castle, J, Hendry, D
Formato: Working paper
Lenguaje:English
Publicado: Department of Economics (University of Oxford) 2009