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Author: David F. Hendry
Publisher: MIT Press
ISBN: 0262028352
Category : Business & Economics
Languages : en
Pages : 387
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Book Description
A synthesis of the authors' groundbreaking econometric research on automatic model selection, which uses powerful computational algorithms and theory evaluation. Economic models of empirical phenomena are developed for a variety of reasons, the most obvious of which is the numerical characterization of available evidence, in a suitably parsimonious form. Another is to test a theory, or evaluate it against the evidence; still another is to forecast future outcomes. Building such models involves a multitude of decisions, and the large number of features that need to be taken into account can overwhelm the researcher. Automatic model selection, which draws on recent advances in computation and search algorithms, can create, and then empirically investigate, a vastly wider range of possibilities than even the greatest expert. In this book, leading econometricians David Hendry and Jurgen Doornik report on their several decades of innovative research on automatic model selection. After introducing the principles of empirical model discovery and the role of model selection, Hendry and Doornik outline the stages of developing a viable model of a complicated evolving process. They discuss the discovery stages in detail, considering both the theory of model selection and the performance of several algorithms. They describe extensions to tackling outliers and multiple breaks, leading to the general case of more candidate variables than observations. Finally, they briefly consider selecting models specifically for forecasting.
Author: David F. Hendry
Publisher: MIT Press
ISBN: 0262028352
Category : Business & Economics
Languages : en
Pages : 387
Get Book Here
Book Description
A synthesis of the authors' groundbreaking econometric research on automatic model selection, which uses powerful computational algorithms and theory evaluation. Economic models of empirical phenomena are developed for a variety of reasons, the most obvious of which is the numerical characterization of available evidence, in a suitably parsimonious form. Another is to test a theory, or evaluate it against the evidence; still another is to forecast future outcomes. Building such models involves a multitude of decisions, and the large number of features that need to be taken into account can overwhelm the researcher. Automatic model selection, which draws on recent advances in computation and search algorithms, can create, and then empirically investigate, a vastly wider range of possibilities than even the greatest expert. In this book, leading econometricians David Hendry and Jurgen Doornik report on their several decades of innovative research on automatic model selection. After introducing the principles of empirical model discovery and the role of model selection, Hendry and Doornik outline the stages of developing a viable model of a complicated evolving process. They discuss the discovery stages in detail, considering both the theory of model selection and the performance of several algorithms. They describe extensions to tackling outliers and multiple breaks, leading to the general case of more candidate variables than observations. Finally, they briefly consider selecting models specifically for forecasting.
Author: David F. Hendry
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Clive W. J. Granger
Publisher: Cambridge University Press
ISBN: 9780521778251
Category : Business & Economics
Languages : en
Pages : 116
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Book Description
Lucid account of the process of constructing and evaluating an empirical model.
Author: David F. Hendry
Publisher:
ISBN: 9780198283164
Category : Business & Economics
Languages : en
Pages : 918
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Book Description
The main problem in econometric modelling of time series is discovering sustainable and interpretable relationships between observed economic variables. The primary aim of this book is to develop an operational econometric approach which allows constructive modelling. Professor Hendry deals with methodological issues (model discovery, data mining, and progressive research strategies); with major tools for modelling (recursive methods, encompassing, super exogeneity, invariance tests); and with practical problems (collinearity, heteroscedasticity, and measurement errors). He also includes an extensive study of US money demand. The book is self-contained, with the technical background covered in appendices. It is thus suitable for first year graduate students, and includes solved examples and exercises to facilitate its use in teaching. About the Series Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.
Author: Clive William John Granger
Publisher:
ISBN: 9781107118416
Category : Econometric models
Languages : en
Pages : 99
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Book Description
Clive W.J. Granger is widely regarded as one of the greatest living social scientists. In this book, designed for scholars, researchers and senior undergraduates, he considers the process of constructing and evaluating an empirical model. Using case-studies from the arts and social sciences he provides a concise and entertaining account.
Author: C. W. J. Granger
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 0
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Book Description
Author: Scott A. Pardo
Publisher: Springer
ISBN: 3319327682
Category : Mathematics
Languages : en
Pages : 255
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Book Description
This textbook teaches advanced undergraduate and first-year graduate students in Engineering and Applied Sciences to gather and analyze empirical observations (data) in order to aid in making design decisions. While science is about discovery, the primary paradigm of engineering and "applied science" is design. Scientists are in the discovery business and want, in general, to understand the natural world rather than to alter it. In contrast, engineers and applied scientists design products, processes, and solutions to problems. That said, statistics, as a discipline, is mostly oriented toward the discovery paradigm. Young engineers come out of their degree programs having taken courses such as "Statistics for Engineers and Scientists" without any clear idea as to how they can use statistical methods to help them design products or processes. Many seem to think that statistics is only useful for demonstrating that a device or process actually does what it was designed to do. Statistics courses emphasize creating predictive or classification models - predicting nature or classifying individuals, and statistics is often used to prove or disprove phenomena as opposed to aiding in the design of a product or process. In industry however, Chemical Engineers use designed experiments to optimize petroleum extraction; Manufacturing Engineers use experimental data to optimize machine operation; Industrial Engineers might use data to determine the optimal number of operators required in a manual assembly process. This text teaches engineering and applied science students to incorporate empirical investigation into such design processes. Much of the discussion in this book is about models, not whether the models truly represent reality but whether they adequately represent reality with respect to the problems at hand; many ideas focus on how to gather data in the most efficient way possible to construct adequate models. Includes chapters on subjects not often seen together in a single text (e.g., measurement systems, mixture experiments, logistic regression, Taguchi methods, simulation) Techniques and concepts introduced present a wide variety of design situations familiar to engineers and applied scientists and inspire incorporation of experimentation and empirical investigation into the design process. Software is integrally linked to statistical analyses with fully worked examples in each chapter; fully worked using several packages: SAS, R, JMP, Minitab, and MS Excel - also including discussion questions at the end of each chapter. The fundamental learning objective of this textbook is for the reader to understand how experimental data can be used to make design decisions and to be familiar with the most common types of experimental designs and analysis methods.
Author: Aman Ullah
Publisher: Chapman & Hall/CRC
ISBN: 9781138113664
Category :
Languages : en
Pages : 532
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Book Description
Handbook of Empirical Economics and Financeexplores the latest developments in the analysis and modeling of economic and financial data. Well-recognized econometric experts discuss the rapidly growing research in economics and finance and offer insight on the future direction of these fields. Focusing on micro models, the first group of chapters describes the statistical issues involved in the analysis of econometric models with cross-sectional data often arising in microeconomics. The book then illustrates time series models that are extensively used in empirical macroeconomics and finance. The last set of chapters explores the types of panel data and spatial models that are becoming increasingly significant in analyzing complex economic behavior and policy evaluations. This handbook brings together both background material and new methodological and applied results that are extremely important to the current and future frontiers in empirical economics and finance. It emphasizes inferential issues that transpire in the analysis of cross-sectional, time series, and panel data-based empirical models in economics, finance, and related disciplines.
Author: Herbert A. Simon
Publisher: Springer Science & Business Media
ISBN: 9401095213
Category : Science
Languages : en
Pages : 471
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Book Description
We respect Herbert A. Simon as an established leader of empirical and logical analysis in the human sciences while we happily think of him as also the loner; of course he works with many colleagues but none can match him. He has been writing fruitfully and steadily for four decades in many fields, among them psychology, logic, decision theory, economics, computer science, management, production engineering, information and control theory, operations research, confirmation theory, and we must have omitted several. With all of them, he is at once the technical scientist and the philosophical critic and analyst. When writing of decisions and actions, he is at the interface of philosophy of science, decision theory, philosophy of the specific social sciences, and inventory theory (itself, for him, at the interface of economic theory, production engineering and information theory). When writing on causality, he is at the interface of methodology, metaphysics, logic and philosophy of physics, systems theory, and so on. Not that the interdisciplinary is his orthodoxy; we are delighted that he has chosen to include in this book both his early and little-appreciated treatment of straightforward philosophy of physics - the axioms of Newtonian mechanics, and also his fine papers on pure confirmation theory.
Author: F. A. G. den Butter
Publisher:
ISBN: 9780415236058
Category : Business & Economics
Languages : en
Pages : 318
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Book Description
It has been held that when economic policy makers use economic models, there is a one way flow of information from the models to policy analysis. This text challenges this assumption, recognizing that policy makers play an important role in the development and revision of those very models.
