The Properties of Model Selection when Retaining Theory Variables
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- David F. Hendry & Søren Johansen, 2011. "The Properties of Model Selection when Retaining Theory Variables," Discussion Papers 11-25, University of Copenhagen. Department of Economics.
References listed on IDEAS
- Castle Jennifer L. & Doornik Jurgen A & Hendry David F., 2011.
"Evaluating Automatic Model Selection,"
Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-33, February.
- Jennifer Castle & David Hendry & Jurgen A. Doornik, 2010. "Evaluating Automatic Model Selection," Economics Series Working Papers 474, University of Oxford, Department of Economics.
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- David Hendry & Carlos Santos, 2010. "An Automatic Test of Super Exogeneity," Economics Series Working Papers 476, University of Oxford, Department of Economics.
- Leeb, Hannes & Pötscher, Benedikt M., 2005. "Model Selection And Inference: Facts And Fiction," Econometric Theory, Cambridge University Press, vol. 21(1), pages 21-59, February.
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- Emmanuel Flachaire & Gilles Hacheme & Sullivan Hu'e & S'ebastien Laurent, 2022. "GAM(L)A: An econometric model for interpretable Machine Learning," Papers 2203.11691, arXiv.org.
- David F. Hendry & Felix Pretis, 2013.
"Anthropogenic influences on atmospheric CO2,"
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- David Hendry & Felix Pretis, 2011. "Anthropogenic Influences on Atmospheric CO2," Economics Series Working Papers 584, University of Oxford, Department of Economics.
- Emmanuel Flachaire & Sullivan Hué & Sébastien Laurent & Gilles Hacheme, 2024.
"Interpretable Machine Learning Using Partial Linear Models,"
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- Emmanuel Flachaire & Sullivan Hué & Sébastien Laurent & Gilles Hacheme, 2023. "Interpretable Machine Learning Using Partial Linear Models," Post-Print hal-04529011, HAL.
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More about this item
Keywords
Model selection; theory retention.;JEL classification:
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
- C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
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