CHALLENGES FOR ECONOMETRIC MODEL SELECTION

DOI10.1017/S0266466605050048zbMath1072.62116MaRDI QIDQ5697623

Bruce E. Hansen

Publication date: 18 October 2005

Published in: Econometric Theory (Search for Journal in Brave)

zbMATH Keywords

model uncertaintysemiparametric modelingmodels as approximation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cites Work

• Prediction of multivariate time series by autoregressive model fitting
• Consistent autoregressive spectral estimates
• Bayesian model averaging: A tutorial. (with comments and a rejoinder).
• Frequentist Model Average Estimators
• The Focused Information Criterion
• Econometric Model Determination
• Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models

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