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Statistical model selection with 'big data'

Doornik, Jurgen A.; Hendry, David F. - 2014

Persistent link: https://www.econbiz.de/10010442444

Selection criteria in regime switching conditional volatility models

Chuffart, Thomas - In: Econometrics : open access journal 3 (2015) 2, pp. 289-316

A large number of nonlinear conditional heteroskedastic models have been proposed in the literature. Model selection is crucial to any statistical data analysis. In this article, we investigate whether the most commonly used selection criteria lead to choice of the right specification in a...

Persistent link: https://www.econbiz.de/10011297653

Improving the teaching of econometrics

Hendry, David F.; Mizon, Grayham E. - In: Cogent economics & finance 4 (2016) 1, pp. 1-26

equation specifications, formulated to include all theory-based variables, their lags and possibly non-linear functional forms …, can be improved by nesting so-called "theory-driven" and "data-driven" approaches. In our methodology, the theory …-model's parameter estimates are unaffected by selection when the theory is complete and correct, so nothing is lost, whereas when the …

Persistent link: https://www.econbiz.de/10011487537

Spatial econometric modelling of massive datasets : the contribution of data mining

Arbia, Giuseppe; Tabasso, M. - 2013

In this paper we provide a brief overview of some of the most recent empirical research on spatial econometric models and spatial data mining. Data mining in general is the search for hidden patterns that may exist in large databases. Spatial data mining is a process to discover interesting,...

Persistent link: https://www.econbiz.de/10011532588

Economic predictions with big data : the illusion of sparsity

Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio E. - 2021

We compare sparse and dense representations of predictive models in macroeconomics, microeconomics and ftnance. To deal with a large number of possible predictors, we specify a prior that allows for both variable selection and shrinkage. The posterior distribution does not typically concentrate...

Persistent link: https://www.econbiz.de/10012506019

Testing parameter constancy in unit root autoregressive models against continuous change

He, Changli (contributor); Sandberg, Rickard (contributor) - 2005 - [Elektronische Ressource], Rev. February 8, 2005

In this paper we derive tests for parameter constancy when the data generating process is non-stationary against the hypothesis that the parameters of the model change smoothly over time. To obtain the asymptotic distributions of the tests we generalize many theoretical results, as well as new...

Persistent link: https://www.econbiz.de/10002570513

Non-Negativity Conditions for the Hyperbolic GARCH Model

Conrad, Christian - 2010

In this article we derive conditions which ensure the non-negativity of the conditional variance in the Hyperbolic GARCH(p,d,q) (HYGARCH) model of Davidson (2004). The conditions are necessary and sufficient for p=1 and sufficient for p=2 and emerge as natural extensions of the inequality...

Persistent link: https://www.econbiz.de/10014050603

Model Selection and Testing of Conditional and Stochastic Volatility Models

Caporin, Massimiliano - 2010

criteria, and conditions for the existence of moments and asymptotic theory, as well as the out-of-sample model selection …

Persistent link: https://www.econbiz.de/10013138206

Advancing Style Analysis and Risk Modeling by Incorporating Model Uncertainty with Bayesian Model Averaging

Zhou, Hao (David) - 2013

Investors have increasing interests in sophisticated yet transparent analytic tools to handle model uncertainty, tail risk and market dynamics. This paper demonstrates how macroeconomic factor models, based on Bayesian model averaging (BMA), can help address the challenges in some specific...

Persistent link: https://www.econbiz.de/10013073771

On the usefulness of the Diebold-Mariano test in the selection of prediction models : some Monte Carlo evidence

Costantini, Mauro; Kunst, Robert M. - 2011

In evaluating prediction models, many researchers flank comparative ex-ante prediction experiments by significance tests on accuracy improvement, such as the Diebold-Mariano test. We argue that basing the choice of prediction models on such significance tests is problematic, as this practice may...

Persistent link: https://www.econbiz.de/10009388627