Automatic selection of indicators in a fully saturated regression

Citations

Cited by:

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    • M. Mogliani & T. Ferrière, 2016. "Rationality of announcements, business cycle asymmetry, and predictability of revisions. The case of French GDP," Working papers 600, Banque de France.
    • Igor Pelipas, 2012. "Multiple Structural Breaks and Inflation Persistance in Belarus," BEROC Working Paper Series 21, Belarusian Economic Research and Outreach Center (BEROC).
    • Møller, Niels Framroze & Andersen, Laura Mørch & Hansen, Lars Gårn & Jensen, Carsten Lynge, 2019. "Can pecuniary and environmental incentives via SMS messaging make households adjust their electricity demand to a fluctuating production?," Energy Economics, Elsevier, vol. 80(C), pages 1050-1058.
    • Apergis, Nicholas & Pan, Wei-Fong & Reade, James & Wang, Shixuan, 2023. "Modelling Australian electricity prices using indicator saturation," Energy Economics, Elsevier, vol. 120(C).
    • David Hendry & Grayham E. Mizon, 2012. "Forecasting from Structural Econometric Models," Economics Series Working Papers 597, University of Oxford, Department of Economics.
    • Jennifer Castle & David Hendry, 2012. "Forecasting by factors, by variables, or both?," Economics Series Working Papers 600, University of Oxford, Department of Economics.
    • Samson Mukanjari & Thomas Sterner, 2024. "Do markets Trump politics? Fossil and renewable market reactions to major political events," Economic Inquiry, Western Economic Association International, vol. 62(2), pages 805-836, April.
    • Panday, Anjan, 2015. "Impact of monetary policy on exchange market pressure: The case of Nepal," Journal of Asian Economics, Elsevier, vol. 37(C), pages 59-71.
    • László Kónya & Bekzod Abdullaev, 2015. "Does Ricardian equivalence hold in Australia? A revision based on testing super exogeneity with impulse-indicator saturation," Empirical Economics, Springer, vol. 49(2), pages 423-448, September.
    • Hendry, David F. & Pretis, Felix, 2023. "Analysing differences between scenarios," International Journal of Forecasting, Elsevier, vol. 39(2), pages 754-771.
      • David F. Hendry & Felix Pretis, 2020. "Analyzing Differences between Scenarios," Economics Papers 2020-W05, Economics Group, Nuffield College, University of Oxford.
    • Ericsson, Neil R., 2016. "Eliciting GDP forecasts from the FOMC’s minutes around the financial crisis," International Journal of Forecasting, Elsevier, vol. 32(2), pages 571-583.
      • Neil R. Ericsson, 2015. "Eliciting GDP Forecasts from the FOMC’s Minutes Around the Financial Crisis," Working Papers 2015-003, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
      • Neil R. Ericsson, 2015. "Eliciting GDP Forecasts from the FOMC’s Minutes Around the Financial Crisis," International Finance Discussion Papers 1152, Board of Governors of the Federal Reserve System (U.S.).
    • Castle, Jennifer L. & Hendry, David F. & Martinez, Andrew B., 2023. "The historical role of energy in UK inflation and productivity with implications for price inflation," Energy Economics, Elsevier, vol. 126(C).
    • Adam Gersl & Petr Jakubik & Tomas Konecny & Jakub Seidler, 2012. "Dynamic Stress Testing: The Framework for Testing Banking Sector Resilience Used by the Czech National Bank," Working Papers 2012/11, Czech National Bank.
    • Ryan-Collins, Josh & Werner, Richard A. & Castle, Jennifer, 2016. "A half-century diversion of monetary policy? An empirical horse-race to identify the UK variable most likely to deliver the desired nominal GDP growth rate," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 43(C), pages 158-176.
    • Pollack, Adam B. & Kaufmann, Robert K., 2022. "Increasing storm risk, structural defense, and house prices in the Florida Keys," Ecological Economics, Elsevier, vol. 194(C).
    • Castle, Jennifer L. & Kurita, Takamitsu, 2021. "A dynamic econometric analysis of the dollar-pound exchange rate in an era of structural breaks and policy regime shifts," Journal of Economic Dynamics and Control, Elsevier, vol. 128(C).
    • Ragnar Nymoen & Kari Pedersen & Jon Ivar Sjåberg, 2019. "Estimation of Effects of Recent Macroprudential Policies in a Sample of Advanced Open Economies," IJFS, MDPI, vol. 7(2), pages 1-20, May.
    • Ericsson Neil R., 2016. "Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(4), pages 377-398, September.
    • Neil R. Ericsson & Steven B. Kamin, 2008. "Constructive data mining: modeling Argentine broad money demand," International Finance Discussion Papers 943, Board of Governors of the Federal Reserve System (U.S.).
    • Jennifer L. Castle & Michael P. Clements & David F. Hendry, 2016. "An Overview of Forecasting Facing Breaks," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 12(1), pages 3-23, September.
      • Jennifer Castle & David Hendry & Michael P. Clements, 2016. "An Overview of Forecasting Facing Breaks," Economics Series Working Papers 779, University of Oxford, Department of Economics.
    • Pellini, Elisabetta, 2021. "Estimating income and price elasticities of residential electricity demand with Autometrics," Energy Economics, Elsevier, vol. 101(C).
    • Jennifer Castle & David Hendry, 2020. "Identifying the Causal Role of CO2 during the Ice Ages," Economics Series Working Papers 898, University of Oxford, Department of Economics.
    • Castle, Jennifer L. & Hendry, David F., 2014. "Model selection in under-specified equations facing breaks," Journal of Econometrics, Elsevier, vol. 178(P2), pages 286-293.
      • David Hendry & Jennifer L. Castle, 2010. "Model Selection in Under-specified Equations Facing Breaks," Economics Series Working Papers 509, University of Oxford, Department of Economics.
    • Sucarrat, Genaro, 2019. "User-Specified General-to-Specific and Indicator Saturation Methods," MPRA Paper 96148, University Library of Munich, Germany.
    • Jennifer L. Castle & David F. Hendry, 2010. "Nowcasting from disaggregates in the face of location shifts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 200-214.
    • Pretis, Felix, 2020. "Econometric modelling of climate systems: The equivalence of energy balance models and cointegrated vector autoregressions," Journal of Econometrics, Elsevier, vol. 214(1), pages 256-273.
    • Brown, Alasdair & Reade, J. James & Vaughan Williams, Leighton, 2019. "When are prediction market prices most informative?," International Journal of Forecasting, Elsevier, vol. 35(1), pages 420-428.
    • Ruqayya Aljifri, 2020. "The Macroeconomy, Oil and the Stock Market: A Multiple Equation Time Series Analysis of Saudi Arabia," Economics Discussion Papers em-dp2020-27, Department of Economics, University of Reading.
    • William Larson, 2015. "Forecasting an Aggregate in the Presence of Structural Breaks in the Disaggregates," Working Papers 2015-002, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
    • Neil R. Ericsson & Mohammed H. I. Dore & Hassan Butt, 2022. "Detecting and Quantifying Structural Breaks in Climate," Econometrics, MDPI, vol. 10(4), pages 1-27, November.
    • Castle, Jennifer L. & Doornik, Jurgen A. & Hendry, David F., 2024. "Improving models and forecasts after equilibrium-mean shifts," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1085-1100.