Empirical model discovery and theory evaluation : automatic selection methods in econometrics / David F. Hendry and Jurgen A. Doornik.

"Arne Ryde Memorial Lectures Series."

Includes bibliographical references (pages 317-341) and indexes.

About the arne ryde foundation -- Preface -- Acknowledgments -- Glossary -- Data and software -- Principles of model selection -- Introduction -- Discovery -- Background to automatic model selection -- Empirical modeling illustrated -- Evaluating model selection -- The theory of reduction -- General-to-specific modeling -- Model selection theory and performance -- Selecting a model in one decision -- The 2-variable dgp -- Bias correcting selection effects -- Comparisons of 1-cut selection with autometrics -- Impact of diagnostic tests -- Role of encompassing -- Retaining a theory model during selection -- Detecting outliers and breaks using iis -- Re-modeling uk real consumers' expenditure -- Comparisons of autometrics with other approaches -- Model selection in underspecied settings -- Extensions of automatic model selection -- More variables than observations -- Impulse-indicator saturation for multiple breaks -- Selecting non-linear models -- Testing super exogeneity -- Selecting forecasting models -- Epilogue -- References -- Author index -- Index.

Print version record.

A synthesis of the authors' groundbreaking econometric research on automatic model selection, which uses powerful computational algorithms and theory evaluation.

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