Outliers and Model Selection: Discussion of the Paper by Søren Johansen and Bent Nielsen

DOI10.1111/sjos.12208zbMath1419.62227OpenAlexW2523359050MaRDI QIDQ2815580

Jurgen A. Doornik, David F. Hendry

Publication date: 29 June 2016

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://ora.ox.ac.uk/objects/uuid:ed029445-dd4c-491c-88ea-8957cdb13f7f

zbMATH Keywords

model selectionrobust estimationimpulse indicator saturation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Nonparametric robustness (62G35) Non-Markovian processes: hypothesis testing (62M07)

Uses Software

• PcGive
• Ox

Cites Work

• Unnamed Item
• Unpredictability in economic analysis, econometric modeling and forecasting
• Exogeneity
• Forward search added-variable t-tests and the effect of masked outliers on model selection
• Econometric Modelling of Time Series with Outlying Observations
• The Methodology and Practice of Econometrics

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