A note on model selection in (time series) regression models - general-to-specific or specific-to-general?

Applied Economics Letters

Volumn 17, Issue 12, 2010, Pages 1157-1160

  Herwartz, Helmut ^a  

^a UNIVERSITY OF KIEL   (Germany)

Author keywords

[No Author keywords available]

Indexed keywords

ECONOMETRICS; FORECASTING METHOD; MONTE CARLO ANALYSIS; REGRESSION ANALYSIS;

EID: 77954847689     PISSN: 13504851     EISSN: 14664291     Source Type: Journal    
DOI: 10.1080/00036840902845418     Document Type: Article

References (4)

1. Godfrey, L. G. (1988) Misspecification Tests in Econometrics, Cambridge University Press, Cambridge.
2. Hendry, D. F. (1993) Econometrics: Alchemy or Science?, Blackwell Publishers, Oxford.
3. Hendry, D. F. and Krolzig, H.-M. (2001) Automatic Econometric Model Selection with PcGets, Timberlake Consultants Press, London.
4. Lütkepohl, H. (2004) Univariate time series analysis, in Applied Time Series Analysis, Chapter 2, (Eds) H. Lutkepohl and M. Kratzig, Cambridge University Press, Cambridge, pp. 8-85.