Model selection when there are multiple breaks

[1]  Jurgen A. Doornik,et al.  Evaluating Automatic Model Selection , 2011 .

[2]  Tim Bollerslev,et al.  Volatility and Time Series Econometrics , 2010 .

[3]  D. Hendry,et al.  An Automatic Test of Super Exogeneity , 2010 .

[4]  Jennifer L. Castle,et al.  The Methodology and Practice of Econometrics , 2009 .

[5]  D. Hendry The Methodology of Empirical Econometric Modeling: Applied Econometrics Through the Looking-Glass , 2009 .

[6]  Jurgen A. Doornik,et al.  Encompassing and Automatic Model Selection , 2008 .

[7]  D. Hendry,et al.  Guest Editors’ Introduction to Special Issue on Encompassing , 2008 .

[8]  David F. Hendry,et al.  Automatic selection of indicators in a fully saturated regression , 2008, Comput. Stat..

[9]  Bent Nielsen,et al.  An Analysis of the Indicator Saturation Estimator as a Robust Regression Estimator , 2008 .

[10]  W. Reed,et al.  A COMPARISON OF A LARGE NUMBER OF MODEL SELECTION CRITERIA , 2008 .

[11]  Econometric Modeling: A Likelihood Approach , 2007 .

[12]  B. M. Pötscher,et al.  MODEL SELECTION AND INFERENCE: FACTS AND FICTION , 2005, Econometric Theory.

[13]  J. Mycielski,et al.  A Specification Search Algorithm for Cointegrated Systems , 2004 .

[14]  David F. Hendry,et al.  The Properties of Automatic Gets Modelling , 2004 .

[15]  D. Hendry,et al.  Consistent Model Selection by an Automatic "Gets" Approach , 2003 .

[16]  Hans-Martin Krolzig,et al.  General-to-Specific Model Selection Procedures for Structural Vector Autoregressions , 2003 .

[17]  Giampiero M. Gallo,et al.  "A flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach" (RETINA)". , 2003 .

[18]  K. Hoover,et al.  Searching for the Causal Structure of a Vector Autoregression , 2003 .

[19]  Peter C. B. Phillips,et al.  Laws and Limits of Econometrics , 2003 .

[20]  H. White,et al.  A Reality Check for Data Snooping , 2000 .

[21]  K. Hoover,et al.  Truth and Robustness in Cross-Country Growth Regressions , 2000 .

[22]  Hannes Leeb,et al.  The Finite-Sample Distribution of Post-Model-Selection Estimators, and Uniform Versus Non-Uniform Approximations , 2000 .

[23]  David F. Hendry,et al.  Improving on "Data mining reconsidered" by K.D. Hoover and S.J. Perez , 1999 .

[24]  P. Perron,et al.  Computation and Analysis of Multiple Structural-Change Models , 1998 .

[25]  Kevin D. Hoover,et al.  Data mining reconsidered: encompassing and the general-to-specific approach to specification search , 1997 .

[26]  Peter C. B. Phillips,et al.  Econometric Model Determination , 1996 .

[27]  R. Tibshirani Regression Shrinkage and Selection via the Lasso , 1996 .

[28]  N. L. Johnson,et al.  Continuous Univariate Distributions. , 1995 .

[29]  P. Phillips Automated Forecasts of Asia-Pacific Economic Activity , 1995 .

[30]  P. Perron,et al.  Estimating and testing linear models with multiple structural changes , 1995 .

[31]  René Garcia,et al.  Série Scientifique Scientific Series an Analysis of the Real Interest Rate under Regime Shifts , 2022 .

[32]  Colin P. Hargreaves,et al.  Non-Stationary Time Series Analysis and Cointegration , 1994 .

[33]  Peter C. B. Phillips,et al.  Bayes Models and Forecasts of Australian Macroeconomic Time Series , 1992 .

[34]  B. M. Pötscher Effects of Model Selection on Inference , 1991, Econometric Theory.

[35]  David F. Hendry,et al.  A Monte Carlo Study of the Effects of Structural Breaks on Tests for Unit Roots , 1991 .

[36]  Edward E. Leamer,et al.  Let's Take the Con Out of Econometrics , 1983 .

[37]  B. G. Quinn,et al.  The determination of the order of an autoregression , 1979 .

[38]  R. W. Farebrother,et al.  The statistical implications of pre-test and Stein-rule estimators in econometrics , 1978 .

[39]  G. Schwarz Estimating the Dimension of a Model , 1978 .

[40]  Rand R. Wilcox,et al.  The statistical implications of pre-test and Stein-rule estimators in econometrics , 1978 .