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Econometric Model Selection: Nonlinear Techniques and Forecasting.

Abstract:

Selection and forecasting are integral to econometric modelling but a unified treatment is rarely considered. This book addresses both issues, with an application to UK inflation. The theme of model selection underpins all chapters of the book. The development of any econometric model requires model selection rules because economic processes are extremely complex and the underlying data generating process is unknown. Furthermore, different model selection rules may be required for in-sample m...

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Authors


Jennifer L. Castle More by this author
Publication date:
2008
URN:
uuid:a969fb58-87c3-4861-977d-907e41a940fb
Local pid:
oai:economics.ouls.ox.ac.uk:14915
Language:
English

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