Outliers and model selection: discussion of the paper by Søren Johansen and Bent Nielsen
It is argued that model selection and robust estimation should be handled jointly.Impulse indicator saturation makes that possible, but leads to the situation where there are morevariables than observations. This is illustrated by revisiting the analysis of Tobin’s food data.
| Main Authors: | , |
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| Format: | Journal article |
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Wiley
2016
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| _version_ | 1826303486725193728 |
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| author | Doornik, J Hendry, D |
| author_facet | Doornik, J Hendry, D |
| author_sort | Doornik, J |
| collection | OXFORD |
| description | It is argued that model selection and robust estimation should be handled jointly.Impulse indicator saturation makes that possible, but leads to the situation where there are morevariables than observations. This is illustrated by revisiting the analysis of Tobin’s food data. |
| first_indexed | 2024-03-07T06:03:26Z |
| format | Journal article |
| id | oxford-uuid:ed029445-dd4c-491c-88ea-8957cdb13f7f |
| institution | University of Oxford |
| last_indexed | 2024-03-07T06:03:26Z |
| publishDate | 2016 |
| publisher | Wiley |
| record_format | dspace |
| spelling | oxford-uuid:ed029445-dd4c-491c-88ea-8957cdb13f7f2022-03-27T11:21:43ZOutliers and model selection: discussion of the paper by Søren Johansen and Bent NielsenJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:ed029445-dd4c-491c-88ea-8957cdb13f7fSymplectic Elements at OxfordWiley2016Doornik, JHendry, DIt is argued that model selection and robust estimation should be handled jointly.Impulse indicator saturation makes that possible, but leads to the situation where there are morevariables than observations. This is illustrated by revisiting the analysis of Tobin’s food data. |
| spellingShingle | Doornik, J Hendry, D Outliers and model selection: discussion of the paper by Søren Johansen and Bent Nielsen |
| title | Outliers and model selection: discussion of the paper by Søren Johansen and Bent Nielsen |
| title_full | Outliers and model selection: discussion of the paper by Søren Johansen and Bent Nielsen |
| title_fullStr | Outliers and model selection: discussion of the paper by Søren Johansen and Bent Nielsen |
| title_full_unstemmed | Outliers and model selection: discussion of the paper by Søren Johansen and Bent Nielsen |
| title_short | Outliers and model selection: discussion of the paper by Søren Johansen and Bent Nielsen |
| title_sort | outliers and model selection discussion of the paper by soren johansen and bent nielsen |
| work_keys_str_mv | AT doornikj outliersandmodelselectiondiscussionofthepaperbysørenjohansenandbentnielsen AT hendryd outliersandmodelselectiondiscussionofthepaperbysørenjohansenandbentnielsen |