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Empirical Identification of the Vector Autoregression: The Causes and Effects of US M2 *

Kevin D. Hoover, Selva Demiralp, and Stephen J. Perez

in The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry

Published in print:
2009
Published Online:
September 2009
ISBN:
9780199237197
eISBN:
9780191717314
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199237197.003.0002
Subject:
Economics and Finance, Econometrics

The M2 monetary aggregate is monitored by the Federal Reserve, using a broad brush theoretical analysis and an informal empirical analysis. This chapter illustrates empirical identification of an ... More


Empirical Model Discovery and Theory Evaluation: Automatic Selection Methods in Econometrics

David F. Hendry and Jurgen A. Doornik

Published in print:
2014
Published Online:
January 2015
ISBN:
9780262028356
eISBN:
9780262324410
Item type:
book
Publisher:
The MIT Press
DOI:
10.7551/mitpress/9780262028356.001.0001
Subject:
Economics and Finance, Econometrics

Part I introduces the notion of empirical model discovery and the role of model selection therein, discusses criteria to evaluate the success of methods for selecting empirical models, and introduces ... More


Comparisons of 1-cut Selection with Autometrics

David F. Hendry

in Empirical Model Discovery and Theory Evaluation: Automatic Selection Methods in Econometrics

Published in print:
2014
Published Online:
January 2015
ISBN:
9780262028356
eISBN:
9780262324410
Item type:
chapter
Publisher:
The MIT Press
DOI:
10.7551/mitpress/9780262028356.003.0011
Subject:
Economics and Finance, Econometrics

Having established that the properties of bias-corrected 1-cut selections match our three criteria, having appropriate gauge and potency, with near unbiased estimates, and relatively small MSEs, we ... More


. Comparisons of Autometrics with Other Approaches

David F. Hendry

in Empirical Model Discovery and Theory Evaluation: Automatic Selection Methods in Econometrics

Published in print:
2014
Published Online:
January 2015
ISBN:
9780262028356
eISBN:
9780262324410
Item type:
chapter
Publisher:
The MIT Press
DOI:
10.7551/mitpress/9780262028356.003.0017
Subject:
Economics and Finance, Econometrics

There are many possible methods of model selection, most of which can be implemented in an automatic algorithm. General contenders include single path approaches such as forward and backward ... More


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