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## Exogeneity

*David F. Hendry, Robert F. Engle, and Jean‐François Richard*

### in Econometrics: Alchemy or Science?: Essays in Econometric Methodology

- Published in print:
- 2000
- Published Online:
- November 2003
- ISBN:
- 9780198293545
- eISBN:
- 9780191596391
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198293542.003.0016
- Subject:
- Economics and Finance, Econometrics

Exogenous variables play a crucial role in econometrics, yet ‘exogeneity’ is often imprecise. Exogenous connotes ‘being determined outside of (the model under analysis)’, so it cannot be a property ... More

## High Dimension Dynamic Correlations

*Robert F. Engle*

### 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/9780199237197.003.0005
- Subject:
- Economics and Finance, Econometrics

This chapter develops time series methods for forecasting correlations in high dimensional problems. The Dynamic Conditional Correlation model is given a new convenient estimation approach called the ... More

## Particle Learning for Sequential Bayesian Computation *

*Hedibert F. Lopes, Michael S. Johannes, Carlos M. Carvalho, and Nicholas G. Polson*

### in Bayesian Statistics 9

- Published in print:
- 2011
- Published Online:
- January 2012
- ISBN:
- 9780199694587
- eISBN:
- 9780191731921
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199694587.003.0011
- Subject:
- Mathematics, Probability / Statistics

Particle learning provides a simulation‐based approach to sequential Bayesian computation. To sample from a posterior distribution of interest we use an essential state vector together with a ... More

## Econometric Modelling of the Aggregate Time‐Series Relationship Between Consumers' Expenditure and Income in the United Kingdom

*David F. Hendry, J. E. H. Davidson, F. Srba, and S. Yeo*

### in Econometrics: Alchemy or Science?: Essays in Econometric Methodology

- Published in print:
- 2000
- Published Online:
- November 2003
- ISBN:
- 9780198293545
- eISBN:
- 9780191596391
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198293542.003.0009
- Subject:
- Economics and Finance, Econometrics

Simple time‐series representations dominated quarterly permanent‐income/life‐cycle models of consumption in fit and predictive accuracy. However, an ‘error‐correction’model (ECM, using the log ... More

## Constructive Data Mining: Modelling Argentine Broad Money Demand *

*Neil R. Ericsson and Steven B. Kamin*

### 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/9780199237197.003.0017
- Subject:
- Economics and Finance, Econometrics

This chapter assesses the empirical merits of PcGets and Autometrics — two recent algorithms for computer-automated model selection — using them to improve upon Kamin and Ericsson's (1993) model of ... More

## When Training and Test Sets Are Different: Characterizing Learning Transfer

*Storkey Amos*

### in Dataset Shift in Machine Learning

- Published in print:
- 2008
- Published Online:
- August 2013
- ISBN:
- 9780262170055
- eISBN:
- 9780262255103
- Item type:
- chapter

- Publisher:
- The MIT Press
- DOI:
- 10.7551/mitpress/9780262170055.003.0001
- Subject:
- Computer Science, Machine Learning

This chapter introduces the general learning transfer problem and formulates it in terms of a change of scenario. Standard regression and classification models can be characterized as conditional ... More

## Modelling the Conditional Correlation of Asset Returns

*M. Hashem Pesaran*

### in Time Series and Panel Data Econometrics

- Published in print:
- 2015
- Published Online:
- March 2016
- ISBN:
- 9780198736912
- eISBN:
- 9780191800504
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780198736912.003.0025
- Subject:
- Economics and Finance, Econometrics

The modelling of conditional volatilities and correlations across asset returns is part of portfolio decision making and risk management. In risk management, the Value at Risk (VaR) of a given ... More

## Modeling Commodity Prices with Dynamic Conditional Beta

*Robert Engle*

### in Essays in Nonlinear Time Series Econometrics

- Published in print:
- 2014
- Published Online:
- August 2014
- ISBN:
- 9780199679959
- eISBN:
- 9780191760136
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199679959.003.0011
- Subject:
- Economics and Finance, Econometrics

The Dynamic Conditional Beta model is applied to the returns on 21 commodities to examine evidence of transitions in the market structure. The econometrics of transition models is examined from the ... More

## The development of a time series methodology: from recursive residuals to dynamic conditional score models

*Andrew Harvey*

### in Unobserved Components and Time Series Econometrics

- Published in print:
- 2015
- Published Online:
- January 2016
- ISBN:
- 9780199683666
- eISBN:
- 9780191763298
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199683666.003.0002
- Subject:
- Economics and Finance, Econometrics

This chapter discusses the developments in unobserved components time series models and their statistical and econometric treatments from the early 1970s to the present day.

## Spatial variation and linear modeling of ecological data

*Simoneta Negrete-Yankelevich and Gordon A. Fox*

### in Ecological Statistics: Contemporary theory and application

- Published in print:
- 2015
- Published Online:
- April 2015
- ISBN:
- 9780199672547
- eISBN:
- 9780191796487
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199672547.003.0011
- Subject:
- Biology, Biomathematics / Statistics and Data Analysis / Complexity Studies, Ecology

Spatial variation has been often considered undesirable noise in ecological studies because many statistical methods used assume random spatial distributions. It is time to change this because ... More

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