Semi-automatic non-linear model selection
We consider model selection for non-linear dynamic equations with more candidate variables than observations, based on a general class of non-linear-in-the-variables functions, addressing possible location shifts by impulse-indicator saturation. After an automatic search delivers a simplified congr...
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| Format: | Working paper |
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University of Oxford
2013
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| _version_ | 1826301415802273792 |
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| author | Castle, J Hendry, D |
| author_facet | Castle, J Hendry, D |
| author_sort | Castle, J |
| collection | OXFORD |
| description | We consider model selection for non-linear dynamic equations with more candidate variables than observations, based on a general class of non-linear-in-the-variables functions, addressing possible location shifts by impulse-indicator saturation. After an automatic search delivers a simplified congruent terminal model, an encompassing test can be implemented against an investigator's preferred non-linear function. When that is non-linear in the parameters, such as a threshold model, the overall approach can only be semi-automatic. The method is applied to re-analyze an empirical model of real wages in the UK over 1860-2004, updated and extended to 2005-2011 for forecast evaluation. |
| first_indexed | 2024-03-07T05:32:05Z |
| format | Working paper |
| id | oxford-uuid:e29c1a5c-874f-4b58-86e8-b1036a69d906 |
| institution | University of Oxford |
| last_indexed | 2024-03-07T05:32:05Z |
| publishDate | 2013 |
| publisher | University of Oxford |
| record_format | dspace |
| spelling | oxford-uuid:e29c1a5c-874f-4b58-86e8-b1036a69d9062022-03-27T10:02:48ZSemi-automatic non-linear model selectionWorking paperhttp://purl.org/coar/resource_type/c_8042uuid:e29c1a5c-874f-4b58-86e8-b1036a69d906Bulk import via SwordSymplectic ElementsUniversity of Oxford2013Castle, JHendry, DWe consider model selection for non-linear dynamic equations with more candidate variables than observations, based on a general class of non-linear-in-the-variables functions, addressing possible location shifts by impulse-indicator saturation. After an automatic search delivers a simplified congruent terminal model, an encompassing test can be implemented against an investigator's preferred non-linear function. When that is non-linear in the parameters, such as a threshold model, the overall approach can only be semi-automatic. The method is applied to re-analyze an empirical model of real wages in the UK over 1860-2004, updated and extended to 2005-2011 for forecast evaluation. |
| spellingShingle | Castle, J Hendry, D Semi-automatic non-linear model selection |
| title | Semi-automatic non-linear model selection |
| title_full | Semi-automatic non-linear model selection |
| title_fullStr | Semi-automatic non-linear model selection |
| title_full_unstemmed | Semi-automatic non-linear model selection |
| title_short | Semi-automatic non-linear model selection |
| title_sort | semi automatic non linear model selection |
| work_keys_str_mv | AT castlej semiautomaticnonlinearmodelselection AT hendryd semiautomaticnonlinearmodelselection |