Econometric Model Selection: A New Approach: 16 (Advanced Studies in Theoretical and Applied Econometrics) - Softcover

Grasa, Antonio Aznar Aznar

 
9789048140510: Econometric Model Selection: A New Approach: 16 (Advanced Studies in Theoretical and Applied Econometrics)
Softcover
ISBN 10: 904814051X ISBN 13: 9789048140510
Verlag: Springer, 2010

Inhaltsangabe

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.

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Críticas

`However, it is a well written, readable account of the model specification testing problem, and as such would justify its inclusion on the shelves of academic libraries.'
The Economic Journal, June 1990

Reseña del editor

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.

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Verlag
Springer
Erscheinungsdatum
2010
Sprache
Englisch
ISBN 10 
904814051X
ISBN 13 
9789048140510
Einband
Tapa blanda
Anzahl der Seiten
276
Kontakt zum Hersteller
Nicht verfügbar
Verantwortliche Person
CMN Printpool Inh. Mathis Neumann
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Hamburg
Deutschland

Weitere beliebte Ausgaben desselben Titels

9780792303213: Econometric Model Selection: A New Approach: 16 (Advanced Studies in Theoretical and Applied Econometrics)

Vorgestellte Ausgabe

ISBN 10:  0792303210 ISBN 13:  9780792303213
Verlag: Springer, 1989
Hardcover