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## An Analysis of the Indicator Saturation Estimator as a Robust Regression Estimator *

*Søren Johansen and Bent Nielsen*

### 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/9780199237197.003.0001
- Subject:
- Economics and Finance, Econometrics

This chapter analyzes an algorithm suggested by Hendry (1999) for estimation in a regression with more regressors than observations, with the purpose of finding an estimator that is robust to ... More

## Detecting Outliers and Breaks Using IIS

*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/9780262028356.003.0015
- Subject:
- Economics and Finance, Econometrics

The last of our six stages concerns detecting outliers and breaks. Impulse-indicator saturation (IIS: see Hendry et al., 2008, and Johansen and Nielsen, 2009) is analyzed under the null of no ... More

## Semi-Automatic Nonlinear Model Selection

*Jennifer L. Castle and David F. Hendry*

### 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/9780199679959.003.0007
- Subject:
- Economics and Finance, Econometrics

We consider model selection for nonlinear dynamic equations with more candidate variables than observations, based on a general class of nonlinear-in-the-variables functions, addressing possible ... More

## Testing Super Exogeneity

*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/9780262028356.003.0022
- Subject:
- Economics and Finance, Econometrics

An automatically computable test is described, with null rejection frequencies that are close to the nominal size, and potency for failures of super exogeneity. Impulse-indicator saturation is ... More

## Impulse-Indicator Saturation for Multiple Breaks

*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/9780262028356.003.0020
- Subject:
- Economics and Finance, Econometrics

Chapter 15 considered the theory and practice of IIS, to show that the cost of applying that approach under the null of no outliers or breaks was low at reasonably tight significance levels. A pilot ... More

## Model Selection in Underspecified Settings

*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/9780262028356.003.0018
- Subject:
- Economics and Finance, Econometrics

Despite seeking to commence an empirical study from a general initial specification that nests the LDGP for the set of variables under analysis, the GUM may be an underspecification. Moreover, the ... More

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