How To Pick The Best Regression Equation: A Review And Comparison Of Model Selection Algorithms
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Cited by:
- 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.
- Thomas Pave Sohnesen & Niels Stender, 2017. "Is Random Forest a Superior Methodology for Predicting Poverty? An Empirical Assessment," Poverty & Public Policy, John Wiley & Sons, vol. 9(1), pages 118-133, March.
- Castle, Jennifer L. & Doornik, Jurgen A. & Hendry, David F., 2012.
"Model selection when there are multiple breaks,"
Journal of Econometrics, Elsevier, vol. 169(2), pages 239-246.
- Jennifer Castle & David Hendry & Jurgen A. Doornik, 2008. "Model Selection when there are Multiple Breaks," Economics Series Working Papers 407, University of Oxford, Department of Economics.
- Steven L. Scott & Hal R. Varian, 2015.
"Bayesian Variable Selection for Nowcasting Economic Time Series,"
NBER Chapters, in: Economic Analysis of the Digital Economy, pages 119-135,
National Bureau of Economic Research, Inc.
- Steven L. Scott & Hal R. Varian, 2013. "Bayesian Variable Selection for Nowcasting Economic Time Series," NBER Working Papers 19567, National Bureau of Economic Research, Inc.
- Graham Bird & Alex Mandilaras & Helen Popper, 2012. "Explaining Shifts in Exchange Rate Regimes," School of Economics Discussion Papers 1312, School of Economics, University of Surrey.
- Hal R. Varian, 2014. "Big Data: New Tricks for Econometrics," Journal of Economic Perspectives, American Economic Association, vol. 28(2), pages 3-28, Spring.
- Lu, Quanying & Li, Yuze & Chai, Jian & Wang, Shouyang, 2020. "Crude oil price analysis and forecasting: A perspective of “new triangle”," Energy Economics, Elsevier, vol. 87(C).
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Keywords
Model selection algorithms; Information Criteria; General-to-Specific modeling; Bayesian Model Averaging; Portfolio Models; AIC; SIC; AICc; SICc; Monte Carlo Analysis; Autometrics;All these keywords.
JEL classification:
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2009-10-24 (Econometrics)
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