Empirical Modelling and Model Selection for Forecasting Inflation in a Non-stationary World.
Selection and forecasting are integral to econometric modelling and this thesis addresses both issues, with an application to UK inflation. Two automatic model selection algorithms, PcGets and RETINA, are evaluated on time-series and cross-section data. PcGets aims to select an undominated, congruen...
Main Author: | Castle, J |
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Format: | Thesis |
Language: | English |
Published: |
University of Oxford;Nuffield College
2006
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