CHALLENGES FOR ECONOMETRIC MODEL SELECTION

Econometric Model Selection With More Variables Than Observations

Several algorithms for indicator saturation are compared and found to have low power when there are multiple breaks. A new algorithm is introduced, based on repeated application of an automatic model selection procedure (Autometrics, see Doornik, 2009) which is based on the general-to-specific approach. The new algorithm can also be applied in the general case of more variables than observation...

ECONOMETRIC MODEL DETERMINATION by

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Parallel Krylov Methods for Econometric Model Simulation

This paper investigates parallel solution methods to simulate large-scale macroeconometric models with forward-looking variables. The method chosen is the Newton-Krylov algorithm. We concentrate on a parallel solution to the sparse linear system arising in the Newton algorithm, and we empirically analyze the scalability of the GMRES method, which belongs to the class of so-called Krylov subspac...

Optimal Challenges for Selection

An Input-Output Econometric Model

model of the type used to forecast the effects on an industry of changes in the national economy is described. The components representing input data and the type of output from such a model are discussed. This paper is intended as a tutorial discussion of an advanced application in data processing. Input-output models are used to forecast various effects that can occur to an industry as it int...