The objective of this study is to compare alternative computerized model-selection strategies in the context of the vector autoregressive (VAR) modeling framework. The focus is on a comparison of subset modeling strategies with the general-to-specific reduction approach automated by PcGets....

Economic theories are often fitted directly to data to avoid possible model selection biases. We show that embedding a theory model that specifies the correct set of m relevant exogenous variables, x{t}, within the larger set of m+k candidate variables, (x{t},w{t}), then selection over the...

Economic theories are often fitted directly to data to avoid possible model selection biases. We show that embedding a theory model that specifies the correct set of m relevant exogenous variables, x{t}, within the larger set of m+k candidate variables, (x{t},w{t}), then selection over the...

Unpredictability arises from intrinsic stochastic variation, unexpected instances of outliers, and unanticipated extrinsic shifts of distributions. We analyze their properties, relationships, and different effects on the three arenas in the title, which suggests considering three associated...

High dimensional general unrestricted models (GUMs) may include important individual determinants, many small relevant effects, and irrelevant variables. Automatic model selection procedures can handle more candidate variables than observations, allowing substantial dimension reduction from GUMs...

In this paper, we present a case study of the imputation in a complex household survey - the first wave of the German Panel on Household Finances (PHF). A household wealth survey has to be built on a questionnaire with rather complex logical structure mainly because the probes of many wealth...

In this paper, we present a case study of the imputation in a complex household survey - the first wave of the German Panel on Household Finances (PHF). A household wealth survey has to be built on a questionnaire with rather complex logical structure mainly because the probes of many wealth...

The objective of this study is to compare alternative computerized model-selection strategies in the context of the vector autoregressive (VAR) modeling framework. The focus is on a comparison of subset modeling strategies with the general-to-specific reduction approach automated by PcGets....

In this paper, we present a case study of the imputation in a complex household survey - the first wave of the German Panel on Household Finances (PHF). A household wealth survey has to be built on a questionnaire with rather complex logical structure mainly because the probes of many wealth...