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Semi-automatic non-linear model selection,

Abstract:

We consider model selection for nonlinear dynamic equations with more candidate variables than observations, based on a general class of nonlinear-in-the-variables functions, addressing possible location shifts by impulse-indicator saturation. After an automatic search delivers a simplified congruent terminal model, an encompassing test can be implemented against an investigator’s preferred nonlinear function. When that is nonlinear in the parameters, such as ...

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Publication status:
Published
Peer review status:
Peer reviewed

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Publisher copy:
10.1093/acprof:oso/9780199679959.003.0007

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Institution:
University of Oxford
Division:
SSD
Department:
Economics
Oxford college:
Magdalen College
Role:
Author

Contributors

Role:
Editor
Role:
Editor
Role:
Editor
Publisher:
Oxford University Press
Host title:
Essays in Nonlinear Time Series Econometrics
Series:
Essays in Nonlinear Time Series Econometrics
Publication date:
2014-06-26
DOI:
ISBN:
9780199679959
Keywords:
Pubs id:
pubs:1070398
UUID:
uuid:d53702d2-9ce0-4fe1-8f85-8e6a72685a3e
Local pid:
pubs:1070398
Source identifiers:
1070398
Deposit date:
2019-11-07

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