Econometric Model Selection

A New Approach

Antonio Aznar Grasa (Autor)

Buch | Softcover

262 Seiten

2010 | Softcover reprint of hardcover 1st ed. 1989
Springer (Verlag)
978-90-481-4051-0 (ISBN)

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This book proposes a new methodology for the selection of one (model) from among a set of alternative econometric models. Let us recall that a model is an abstract representation of reality which brings out what is relevant to a particular economic issue. An econometric model is also an analytical characterization of the joint probability distribution of some random variables of interest, which yields some information on how the actual economy works. This information will be useful only if it is accurate and precise; that is, the information must be far from ambiguous and close to what we observe in the real world Thus, model selection should be performed on the basis of statistics which summarize the degree of accuracy and precision of each model. A model is accurate if it predicts right; it is precise if it produces tight confidence intervals. A first general approach to model selection includes those procedures based on both characteristics, precision and accuracy. A particularly interesting example of this approach is that of Hildebrand, Laing and Rosenthal (1980). See also Hendry and Richard (1982). A second general approach includes those procedures that use only one of the two dimensions to discriminate among models. In general, most of the tests we are going to examine correspond to this category.

1. Economic Methodology and Econometrics.- 2. Statistical Decision Theory.- 3. Econometric Model Selection Procedures: A Survey.- 4. Set of Spherical Models.- 5. Set of More Informative Models.- 6. AVE and Acord Criteria. A New Proposal.- 7. Dynamic Models-1.- 8. Dynamic Models-2.- References.

Erscheint lt. Verlag	8.12.2010
Reihe/Serie	Advanced Studies in Theoretical and Applied Econometrics ; 16
Zusatzinfo	XII, 262 p.
Verlagsort	Dordrecht
Sprache	englisch
Maße	155 x 235 mm
Themenwelt	Mathematik / Informatik ► Mathematik ► Finanz- / Wirtschaftsmathematik
	Sozialwissenschaften ► Soziologie ► Empirische Sozialforschung
	Wirtschaft ► Allgemeines / Lexika
	Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie
ISBN-10	90-481-4051-X / 904814051X
ISBN-13	978-90-481-4051-0 / 9789048140510
Zustand	Neuware