Economies are so high dimensional and non-constant that many features of models cannot be derived by prior reasoning, intrinsically involving empirical discovery and requiring theory evaluation. Despite important differences, discovery and evaluation in economics are similar to those of science....

This study investigates usefulness of business tendency surveys in industrial sector for out-of-sample prediction of growth of industrial production in Russia. A special attention is paid to performance of survey-augmented models during the recent Great Recession 2008/2009. Using the real-time...

When a model under-specifies the data generation process, model selection can improve over estimating a prior specification, especially if location shifts occur. Impulse-indicator saturation (IIS) can ‘correct’ non-constant intercepts induced by location shifts in omitted variables, which...

Although a general unrestricted model may under-specify the data generation process, especially when breaks occur, model selection can still improve over estimating a prior specification.  Impulse-indicator saturation (IIS) can 'correct' non-constant intercepts induced by location shifts in...

Economies are so high dimensional and non-constant that many features of models cannot be derived by prior reasoning, intrinsically involving empirical discovery and requiring theory evaluation.  Despite important differences, discovery and evaluation in economics are similar to those of...

We consider model selection facing uncertainty over the choice of variables and the occurrence and timing of multiple location shifts. General-to-simple selection is extended by adding an impulse indicator for every observation to the set of candidate regressors: see Johansen and Nielsen (2009)....