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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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