Lagged Relationships in Economic Forecasting

Coen, Patrick; Gomme, E. D.; Kendall, M. G.

doi:10.2307/2343782

Cited by 83 publications

(27 citation statements)

References 10 publications

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“…Berk (1978) demonstrates that applying both forward and backward selection is no guarantee to finding the correct model. Alternative selection procedures exist, such as 'optimal regression' in which all subsets of regressors are included (see Coen, Gomme and Kendall, 1969, and the response by Box and Newbold, 1971), but that approach is anyway intractable with a large set of potential regressors.…”

Section: Model Selection Literaturementioning

confidence: 99%

Evaluating Automatic Model Selection

Castle¹,

Doornik²,

Hendry³

2011

Journal of Time Series Econometrics

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We outline a range of criteria for evaluating model selection approaches that have been used in the literature. Focusing on three key criteria, we evaluate automatically selecting the relevant variables in an econometric model from a large candidate set. General-tospecific selection is outlined for a regression model in orthogonal variables, where only one decision is required to select, irrespective of the number of regressors. Comparisons with an automated model selection algorithm, Autometrics (Doornik, 2009), show similar properties, but not restricted to orthogonal cases. Monte Carlo experiments examine the roles of post-selection bias corrections and diagnostic testing, and evaluate selection in dynamic models by costs of search versus costs of inference.JEL classifications: C51, C22.

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Section: Model Selection Literaturementioning

confidence: 99%

Evaluating Automatic Model Selection

Castle¹,

Doornik²,

Hendry³

2011

Journal of Time Series Econometrics

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“…(i) they fit in with (or even explain) many other findings, (ii) they are simple (certain rates of buying are equal), (iji) they are reproducible Reproducibility is the crux of the long-standing argument between empiricism and a priori theorising (as rightly stressed recently by Dr. M. G. Kendall-COEN et a/., 1969), but it is sometimes rather too easily claimed or implied. In the present instance however the results are known to ge~leralise across many different product-fields, brands, and time-periods.…”

Section: Introductionmentioning

confidence: 80%

Pack-size Rates of Buying

Ehrenberg¹,

Goodhardt²

1970

Applied Economics

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“…It is the failing to difference rather than the differencing which has sometimes led to error (see, for example, Coen et al, 1969 andNewbold, 1971).…”

Section: Alternative Forecasting Methodsmentioning

confidence: 99%

“…Increase Increase 19651966196719681969197019711965196619671968196919701971 for each of the 12 months between 1965 and May 1971.…”

Section: T1e Transformationmentioning

confidence: 99%