Autometrics

The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry

Volumn , Issue , 2009, Pages

  Doornik, Jurgen A ^a  

^a UNIVERSITY OF OXFORD   (United Kingdom)

Author keywords

Automatic model selection; Autometrics; Computational econometrics; Encompassing; General to specific modelling; Monte Carlo experiments

Indexed keywords

EID: 84919692484     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1093/acprof:oso/9780199237197.003.0004     Document Type: Chapter

References (16)

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11. D. Hoover and S. J. Perez. (2005). The properties of automatic Gets modelling. Economic Journal, 115, C32-C61.
12. D. Hoover and Nielsen, B. (2007). Econometric Modeling: A Likelihood Approach. Princeton: Princeton University Press.
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15. Lovell, M. C. (1983). Data mining. Review of Economics and Statistics, 65, 1-12.
16. Lynch, A. W. and Vital-Ahuja, T. (1998). Can subsample evidence alleviate the data-snooping problem? A comparison to the maximal R 2 cutoff test. Discussion Paper, Stern Business School, New York University.