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Sir Clive W.J. Granger memorial special issue on econometrics: model selection

Abstract:

Clive Granger proposed thick modelling as an alternative to selecting a unique model based on a given criterion, or thin modelling. This stemmed from his research on forecast combination and portfolio selection in which using just the best asset or forecast can be suboptimal in many settings. This paper proposes to integrate thick modelling into the general-to-specific model selection literature, yielding the benefits of selecting a set of well-specified encompassing models while taking serio...

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Publication status:
Published
Peer review status:
Peer reviewed
Version:
Accepted Manuscript

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Department:
Oxford, SSD, Economics
Role:
Author
Publisher:
European Journal of Pure and Applied Mathematics Publisher's website
Journal:
European Journal of Pure and Applied Mathematics Journal website
Volume:
10
Issue:
1
Pages:
133-156
Publication date:
2017-01-01
Acceptance date:
2016-12-16
ISSN:
1307-5543
Pubs id:
pubs:666214
URN:
uri:6d201756-cf77-4957-9560-d1c37d067e4b
UUID:
uuid:6d201756-cf77-4957-9560-d1c37d067e4b
Local pid:
pubs:666214
Paper number:
1

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