Model slection using information criteria and genetic algorithms

被引：7
作者：
Balcombe K.G. [1 ]
机构：
[1] Imperial College, London, Wye Campus
来源：
Computational Economics | 2005年 / 25卷 / 3期
关键词：
Algorithms; Autoregressive; Distributed lags; Genetic; Information criteria; Model selection;
D O I：
10.1007/s10614-005-2209-8
中图分类号：
学科分类号：
摘要：
Automated model searches using information criteria are used for the estimation of linear single equation models. Genetic algorithms are described and used for this purpose. These algorithms are shown to be a practical method for model selection when the number of sub-models are very large. Several examples are presented including tests for bivariate Granger causality and seasonal unit roots. Automated selection of an autoregressive distributed lag model for the consumption function in the US is also undertaken. © Springer Science + Business Media, Inc. 2005.
引用
收藏
页码：207 / 228
页数：21
相关论文
共 30 条
[1]  
Balcombe K.G., Bailey A., Fraser I., Measuring the impact of R&D on productivity from a econometric time series perspective, Journal of Productivity Analysis
[2]  
Beaulieu J.J., Miron J.A., Seasonal unit roots in aggregate U.S. data, Journal of Econometrics, 55, pp. 305-328, (1993)
[3]  
Brown R.L., Durbin J., Evans J.A., Techniques for testing constancy if regression relations over time, Journal of the Royal Statistical Society, 37, 1, pp. 149-192, (1975)
[4]  
Chao J.C., Phillips P.C.B., Model selection in partially nonstationary vector autoregressive processes with reduced rank structure, Journal of Econometrics, 91, pp. 227-271, (1999)
[5]  
Davidson R., McKinnon R.G., Estimation and Inference in Econometrics, (1993)
[6]  
De Crombrugghe D., Palm F.C., Urbain J.P., Statistical demand function for food in the USA and the Netherlands, Journal of Applied Econometrics, 12, 5, pp. 615-645, (1997)
[7]  
De Jong K.A., An Analysis of the Behaviour of a Class of Genetic Adaptive Systems, (1975)
[8]  
Dorsey R.E., Mayer W., Genetic algorithms for estimation problems with multiple optima, nondifferentiability, and other irregular features, Journal of Business and Economic Statistics, 13, pp. 53-66, (1995)
[9]  
Fernandez C., Ley E., Steel M., Benchmark priors for Bayesian model averaging, Journal of Econometrics, 100, pp. 381-427, (2001)
[10]  
George E.I., McCulloch R.E., Variable selection via Gibbs sampling, Journal of the American Statistical Association, 88, 423, pp. 881-889, (1993)
123