Jump to ContentJump to Main Navigation

You are looking at 1-6 of 6 items

  • Keywords: indicator saturation x
Clear All Modify Search

View:

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


View: