I am delighted to contribute to this volume in honour of Grayham Mizon. This is not just because of his many contributions that are so important for model selection, but also for personal reasons: Grayham was external examiner for my D.Phil. (and hopefully I explain the principle of congruence better now). This research was supported by ESRC grant RES-062-23-0061. Helpful comments and suggestions from David Hendry, Grayham Mizon and two anonymous referees are gratefully acknowledged.
Encompassing and Automatic Model Selection*
Version of Record online: 24 NOV 2008
© Blackwell Publishing Ltd and the Department of Economics, University of Oxford, 2008
Oxford Bulletin of Economics and Statistics
Special Issue: Special Issue on Encompassing Guest Editors: David F. Hendry, Massimiliano Marcellino and Grayham E. Mizon
Volume 70, Issue Supplement s1, pages 915–925, December 2008
How to Cite
Doornik, J. A. (2008), Encompassing and Automatic Model Selection. Oxford Bulletin of Economics and Statistics, 70: 915–925. doi: 10.1111/j.1468-0084.2008.00536.x
The objective here is to perform model building within the original variable space. This may be extended with transformations of variables, but precludes Choleski-based orthogonalization or principal components.
- Issue online: 24 NOV 2008
- Version of Record online: 24 NOV 2008
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