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~institution:"Department of Economics and Business, Universitat Pompeu Fabra"
~institution:"School of Economics and Management, University of Aarhus"
~subject:"error estimation"
~subject:"unit roots"
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Search: subject:"model selection"
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error estimation
unit roots
model selection
4
Bayesian model selection
2
Forecasting
2
stationarity
2
stochastic trends
2
variable selection
2
Adaptive LASSO
1
Complexity regularization
1
Concentration of measure
1
Conservative model selection
1
Consistent model selection
1
Dynamic Model Averaging
1
Dynamic Model Selection
1
Indicators
1
Kullback-Leibler Information Criterion
1
Misspeci.cation
1
Model Confidence Set
1
Model Selection
1
Model Selection Tests
1
Model selection
1
Multiple Comparisons
1
Oracle efficiency
1
Realized Variance
1
Self-Perturbed Kalman Filter
1
Structural Change
1
TVP models
1
Vapnik-Chervonenkis dimension
1
Wilcoxon’s signed-rank test
1
artificial neural network
1
autoregression
1
concentration of measure
1
forecast comparison
1
logarithmic Sobolev inequalities
1
longest monotone subsequence
1
nonlinear autoregressive model
1
nonlinear time series
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regression saturation
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root mean square forecast error
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English
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Portuguese
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Grassi, Stefano
2
Proietti, Tommaso
2
Bartlett, Peter L.
1
Boucheron, Stéphane
1
Lugosi, Gábor
1
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Department of Economics and Business, Universitat Pompeu Fabra
School of Economics and Management, University of Aarhus
Cowles Foundation for Research in Economics, Yale University
1
Economics and Econometrics Research Institute (EERI)
1
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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CREATES Research Papers
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Economics Working Papers / Department of Economics and Business, Universitat Pompeu Fabra
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Characterizing economic trends by Bayesian stochastic model specification search
Grassi, Stefano
;
Proietti, Tommaso
-
School of Economics and Management, University of Aarhus
-
2011
We extend a recently proposed Bayesian
model
selection
technique, known as stochastic model specification search, for …
Persistent link: https://www.econbiz.de/10009020199
Saved in:
2
Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search
Grassi, Stefano
;
Proietti, Tommaso
-
School of Economics and Management, University of Aarhus
-
2011
An important issue in modelling economic time series is whether key unobserved components representing trends, seasonality and calendar components, are deterministic or evolutive. We address it by applying a recently proposed Bayesian variable selection methodology to an encompassing linear...
Persistent link: https://www.econbiz.de/10009293967
Saved in:
3
Model
selection
and error estimation
Bartlett, Peter L.
;
Boucheron, Stéphane
;
Lugosi, Gábor
-
Department of Economics and Business, Universitat …
-
2000
We study
model
selection
strategies based on penalized empirical loss minimization. We point out a tight relationship …
Persistent link: https://www.econbiz.de/10005772465
Saved in:
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