General-to-Specific Model Selection Procedures for Structural Vector Autoregressions
暂无分享,去创建一个
[1] D. Hendry,et al. Encompassing and Specificity , 1996, Econometric Theory.
[2] D. Hendry,et al. Reformulating empirical macroeconomic modelling , 2000 .
[3] H. Simon,et al. Causal Ordering and Identifiability , 1977 .
[4] James Davidson,et al. Econometric Modelling of the Aggregate Time-Series Relationship Between Consumers' Expenditure and Income in the United Kingdom , 1978 .
[5] David F. Hendry,et al. On the Formulation of Empirical-models in Dynamic Econometrics , 1982 .
[6] D. Hendry,et al. Encompassing in stationary linear dynamic models , 1994 .
[7] Edward Leamer. Model choice and specification analysis , 1983 .
[8] Grayham E. Mizon,et al. Model selection procedures , 2005 .
[9] Charles I. Plosser,et al. Growth and Business Cycles I. The Basic Neoclassical Model , 1988 .
[10] David F. Hendry,et al. Recent developments in the theory of encompassing , 1987 .
[11] C. Sims. MACROECONOMICS AND REALITY , 1977 .
[12] Michael P. Clements,et al. Reformulating Empirical Macro-econometric Modelling , 2001 .
[13] David F. Hendry,et al. The Econometric-analysis of Economic Time-series , 1983 .
[14] Thomas F. Cooley,et al. Business cycle analysis without much theory A look at structural VARs , 1998 .
[15] R. W. Farebrother,et al. The statistical implications of pre-test and Stein-rule estimators in econometrics , 1978 .
[16] J. Sargan. MODEL BUILDING AND DATA MINING , 2001 .
[17] David F. Hendry,et al. New Developments in Automatic General-to-specific Modelling , 2001 .
[18] P. Omtzigt. Automatic identification and restriction of the cointegration space , 2003 .
[19] Robert H. Strotz,et al. Recursive versus non-recursive systems: An attempt at a synthesis , 2017 .
[20] H. Akaike. Prediction and Entropy , 1985 .
[21] J. Florens,et al. Initial and Sequential Reduction of Bayesian Experiments , 1980 .
[22] T. W. Anderson,et al. Statistical analysis of time series , 1972 .
[23] H. Akaike,et al. Information Theory and an Extension of the Maximum Likelihood Principle , 1973 .
[24] G. Schwarz. Estimating the Dimension of a Model , 1978 .
[25] Olivier J. Blanchard,et al. The Dynamic Effects of Aggregate Demand and Supply Disturbances , 1988 .
[26] Kevin D. Hoover,et al. Data mining reconsidered: encompassing and the general-to-specific approach to specification search , 1997 .
[27] D. Hendry. Econometric methodology: a personal perspective , 2005 .
[28] Jean-Francois Richard,et al. The encompassing principle and its application to non-nested hypotheses , 1986 .
[29] Edward E. Leamer,et al. Specification Searches: Ad Hoc Inference with Nonexperimental Data , 1980 .
[30] Jan R. Magnus,et al. Methodology and Tacit Knowledge: Two Experiments in Econometrics , 1999 .
[31] T. Sargent,et al. FORMULATING AND ESTIMATING DYNAMIC LINEAR RATIONAL EXPECTATIONS MODELS , 1980 .
[32] David F. Hendry,et al. Predictive failure and econometric modelling in macroeconomics: the transactions demand for money , 2005 .
[33] J. Richard,et al. Specification Searches: Ad Hoc Inference with Nonexperimental Data , 1980 .
[34] G. C. Tiao,et al. An introduction to multiple time series analysis. , 1993, Medical care.
[35] David F. Hendry,et al. Computer Automation of General-to-Specific Model Selection Procedures , 2001 .
[36] David F. Hendry,et al. Modeling the demand for narrow money in the United Kingdom and the United States , 1991 .
[37] P. Flaschel,et al. Wage and Price Phillips Curves An empirical analysis of destabilizing wage-price spirals , 2003 .
[38] Helmut Lütkepohl,et al. Econometric studies : a festschrift in honour of Joachim Frohn , 2001 .
[39] Edward E. Leamer,et al. Let's Take the Con Out of Econometrics , 1983 .
[40] Helmut Lütkepohl,et al. Lag Selection in Subset VAR Models with an Application to a U.S. Monetary System , 2000 .
[41] Jan Tinbergen,et al. Statistical testing of business-cycle theories , 1968 .
[42] Rand R. Wilcox,et al. The statistical implications of pre-test and Stein-rule estimators in econometrics , 1978 .
[43] D. Cox. Tests of Separate Families of Hypotheses , 1961 .
[44] C. Whiteman,et al. General-to-specific procedures for fitting a data-admissible, theory- inspired, congruent, parsimonious, encompassing, weakly-exogenous, identified, structural model to the DGP: a translation and critique , 1997 .
[45] H. Krolzig. Computer-Automated Single-Equation General-to-Specific Reduction Procedures for Vector Autoregressions , 2001 .
[46] Tjalling C. Koopmans,et al. Measurement Without Theory , 1947 .
[47] Adrian Pagan,et al. Three Econometric Methodologies: A Critical Appraisal , 1987 .
[48] D. Hendry. Epilogue: The Success of General‐To‐Specific Model Selection , 2000 .
[49] B. G. Quinn,et al. The determination of the order of an autoregression , 1979 .
[50] R. H. Strotz,et al. RECURSIVE VS. NONRECURSIVE SYSTEMS: AN ATTEMPT AT SYNTHESIS (PART I OF A TRIPTYCH ON CAUSAL CHAIN SYSTEMS) , 1960 .
[51] Lawrence J. Christiano,et al. The Effects of Monetary Policy Shocks: Some Evidence from the Flow of Funds , 1996 .
[52] Grayham E. Mizon,et al. The encompassing approach in econometrics , 1984 .
[53] Adrian Pagan,et al. A Structural VAR Model of the Australian Economy , 2000 .
[54] Deborah G. Mayo,et al. TESTING STATISTICAL TESTING , 1981 .
[55] B. Bernanke,et al. The Federal Funds Rate and the Channels of Monetary Transnission , 1990 .
[56] Jean-Pierre Florens,et al. Elements of Bayesian Statistics , 1990 .
[57] David F. Hendry,et al. The Properties of Automatic Gets Modelling , 2004 .
[58] K. Hoover,et al. Searching for the Causal Structure of a Vector Autoregression , 2003 .
[59] David F. Hendry,et al. Econometrics-Alchemy or Science? , 1980 .
[60] G. Mizon,et al. Congruence and encompassing , 2001 .
[61] Statistical Estimation of Economic Relationships , 1949 .
[62] Jan Tinbergen,et al. Statistical Testing of Business-Cycle Theories. I. A Method and its Application to Investment Activity. , 1940, The Mathematical Gazette.
[63] K. Hoover,et al. Improving on ‘ Data mining reconsidered ’ by , 2000 .
[64] J. Stock,et al. INFERENCE IN LINEAR TIME SERIES MODELS WITH SOME UNIT ROOTS , 1990 .
[65] J. Sargan. THE CHOICE BETWEEN SETS OF REGRESSORS , 2001 .
[66] Norman R. Swanson,et al. Impulse Response Functions Based on a Causal Approach to Residual Orthogonalization in Vector Autoregressions , 1997 .
[67] David R. Cox,et al. Further Results on Tests of Separate Families of Hypotheses , 1962 .
[68] Karl Rihaczek,et al. 1. WHAT IS DATA MINING? , 2019, Data Mining for the Social Sciences.
[69] H. Krolzig. General--to--Specific Reductions of Vector Autoregressive Processes , 2001 .
[70] G. Mizon. Inferential Procedures in Nonlinear Models: An Application in a UK Industrial Cross Section Study of Factor Substitution and Returns to Scale , 1977 .
[71] D. Hendry,et al. A Conversation on Econometric Methodology , 1990, Econometric Theory.
[72] C. Sims. Interpreting the macroeconomic time series facts: The effects of monetary policy☆ , 1992 .
[73] P. Flaschel,et al. Wage and Price Phillips Curves , 2003 .
[74] Marco Reale,et al. Identification of vector AR models with recursive structural errors using conditional independence graphs , 2001 .