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Empirical Model Discovery and Theory Evaluation – Automatic Selection Methods in Econometrics | MIT Press Scholarship Online
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Empirical Model Discovery and Theory Evaluation: Automatic Selection Methods in Econometrics

David F. Hendry and Jurgen A. Doornik

Abstract

Part I introduces the notion of empirical model discovery and the role of model selection therein, discusses criteria to evaluate the success of methods for selecting empirical models, and introduces general-to-specific (Gets) approaches and the theory of reduction. It outlines the stages needed to discover a viable model of a complicated evolving process, even when there are more candidate variables than observations. Part II discusses those stages in detail, considering both the theory of model selection and the performance of several algorithms. The focus is on why automatic Gets methods ca ... More

Keywords: Empirical discovery, theory evaluation, model selection, Autometrics

Bibliographic Information

Print publication date: 2014 Print ISBN-13: 9780262028356
Published to MIT Press Scholarship Online: January 2015 DOI:10.7551/mitpress/9780262028356.001.0001

Authors

Affiliations are at time of print publication.

David F. Hendry, author
Oxford University

Jurgen A. Doornik, author