Titlebook: Econometric Model Selection; A New Approach Antonio Aznar Grasa Book 1989 Springer Science+Business Media Dordrecht 1989 decision theory.dy

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Set of More Informative Models,nformation on the parameters. A loss function is explicitly assumed and the different criteria are based on the comparison of the estimated values of the corresponding risk function. Within these procedures we can distinguish two groups. The first one consists of those procedures that derive their r

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AVE and ACOR Criteria. A New Proposal, using, on the one hand, the basic principles distilled from the philosophy of science in Chapter 1 and, on the other, some ideas put forward in Econometrics to evaluate model performance, these ideas having already been surveyed in Chapters 3, 4 and 5.

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Dynamic Models-2,ls. We first examine the procedures followed when specifying a dynamic model, paying attention to both classical econometric and time series methods. We will review statistics and selection procedures not introduced in previous Chapters. In the last Section, a new proposal to select among dynamic mo

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Book 1989n 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 t

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