Autometrics*

Doornik, Jurgen A.

doi:10.1093/acprof:oso/9780199237197.003.0004

Cited by 240 publications

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“…JHCSE is preferred based on its superior smallsample performance. 22 For the testing-down process, we use the module 'Autometrics' embedded in PcGive12 (see Doornik, 2009). 23 The control model and the diagnostic statistics can be found in Table A3 in the Appendix.…”

Section: Interpretation Of Estimation Resultsmentioning

confidence: 99%

News and correlations of CEEC-3 financial markets

Büttner

Hayo

2010

Economic Modelling

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in News and Correlations of CEEC-3 Financial Markets AbstractWe investigate conditional correlations between six CEEC-3 financial markets estimated by DCC-MGARCH models. In general, the highest correlations exist between Hungary and Poland in foreign exchange and stock markets. Short-term money markets are rather isolated from each other. We find that the associations of CEEC-3 exchange rates versus the euro are weaker than those versus the US dollar. The persistence of the effect of shocks on the timevarying correlations is strongest for foreign exchange and stock markets, indicating a tendency toward contagion. In searching for the origins of financial market volatility in the CEEC-3, we uncover some evidence of Granger-causality on the foreign exchange markets.Finally, using a pool model, we investigate the impact of euro area, US, and CEEC-3 news on the correlations. Apart from ECB monetary policy news, we observe no broad effects of international news on correlations; instead, local news exerts an influence, which suggests a dominance of country-or market-specific circumstances.JEL: G12, G15, F30.

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Section: Interpretation Of Estimation Resultsmentioning

confidence: 99%

News and correlations of CEEC-3 financial markets

Büttner

Hayo

2010

Economic Modelling

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“…There are many ways to judge the performance of variable selection algorithms, but one requirement is that the null retention rate of irrelevant variables ("gauge") is well controlled by the nominal size α while the retention rate of relevant variables ("potency") is comparable to power of the one-off statistical test (based on knowledge of the exact parameter restrictions). Doornik (2009) and show that both can be achieved jointly by Autometrics in Monte Carlo simulations that capture realistic degrees of collinearity, departures from normality assumptions and non-stationary data.…”

Section: Automatic Model Selectionmentioning

confidence: 97%

“…The methodological task is therefore to find the significant calendar dummies objectively, and to retain in the final model only those dummies that represent significant frictional effects of macroeconomic shocks. We use the computer based automatic model selection algorithm Autometrics (see Doornik, 2009) as our tool in the testing of the hypothesis that aggregate shocks (as represented by dummies) have no effect on the individual probability of being employed.…”

Section: Introductionmentioning

confidence: 99%

Macroeconomic shocks and the probability of being employed

2013

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Macroeconomic theories take polar views on the importance of choice versus chance. At the micro level, it seems realistic to assume that both dimensions play a role for individual employment outcomes, although it might be difficult to separate these two effects. Nevertheless the choice and chance dimension are seldom treated symmetrically in models that use micro data. We estimate a logistic model of the probability of being employed among married or cohabitating women that are in the labour force. Besides variables that measure individual characteristics (choice), we allow a full set of indicator variables for observation periods that represent potential effects of aggregate shocks (chance) on job probabilities. To reduce the number of redundant indicator variables automatic model selection is used, and we assess the economic interpretation of the statistically significant indicator variables with reference to a theoretical framework that allows for friction in the Norwegian labour market. In addition, we also estimate models that use female and male unemployment rates as 'sufficient' variables for the chance element in individual employment outcomes. Data are for Norway and span the period 1988q2−2008q4.

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“…Multi-path search algorithms with tight critical values can handle more candidate variables, N , than T . As implemented in automatic model selection algorithms like Autometrics (see Doornik, 2009), IIS enables jointly locating breaks with selection over variables, functional forms and lags: see Castle, Doornik and Hendry (2012). Some well-known procedures are variants of IIS, such as the Chow (1960) test (sub-sample IIS over T − k + 1 to T without selection), and recursive estimation, which is equivalent to IIS over future samples, reducing indicators one at a time.…”

Section: Unpredictability and Model Selectionmentioning

confidence: 99%

Unpredictability in economic analysis, econometric modeling and forecasting

Hendry

Mizon

2014

Journal of Econometrics

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Unpredictability arises from intrinsic stochastic variation, unexpected instances of outliers, and unanticipated extrinsic shifts of distributions. We analyze their properties, relationships, and different effects on the three arenas in the title, which suggests considering three associated information sets. The implications of unanticipated shifts for forecasting, economic analyses of efficient markets, conditional expectations, and inter-temporal derivations are described. The potential success of general-to-specific model selection in tackling location shifts by impulse-indicator saturation is contrasted with the major difficulties confronting forecasting.JEL classifications: C51, C22.Keywords: Unpredictability; 'Black Swans'; Distributional shifts; Forecast failure; Model selection; Conditional expectations. IntroductionUnpredictability has been formalized as intrinsic stochastic variation in a known distribution, where conditioning on available information does not alter the outcome from the unconditional distribution, as in the well-known prediction decomposition, or sequential factorization, of a density (see Doob, 1953).Such variation can be attributed (inter alia) to chance distribution sampling, 'random errors', incomplete information, or in economics, many small changes in the choices by individual agents. A variable that is intrinsically unpredictable cannot be modeled or forecast better than its unconditional distribution.However, the converse does not hold: a variable that is not intrinsically unpredictable may still be essentially unpredictable because of two additional aspects of unpredictability. The first concerns independent draws from fat-tailed or heavy-tailed distributions, which leads to a notion we call 'instance * This research was supported in part by grants from the Open Society Foundations and the Oxford Martin School. We are indebted to Gunnar Bärdsen, Jennifer L. Castle, Neil R. Ericsson, Søren Johansen, Bent Nielsen, Ragnar Nymoen, Felix Pretis, Norman Swanson and two anonymous referees for helpful comments on earlier versions. Forthcoming, Journal of Econometrics. Contact details: david.hendry@nuffield.ox.ac.uk and grayham.mizon@soton.ac.uk. 1 unpredictability'. Here the distribution of a variable that is not intrinsically unpredictable is known, as are all conditional and unconditional probabilities, but there is a non-negligible probability of a very discrepant outcome. While that probability is known, it is not known on which draw the discrepant outcome will occur, nor its magnitude, leading to a 'Black Swan' (as in Taleb, 2007), with potentially large costs when that occurs (see Barro, 2009). The third aspect we call 'extrinsic unpredictability', which derives from unanticipated shifts of the distribution itself at unanticipated times, of which location shifts (changes in the means of distributions) are usually the most pernicious. Intrinsic and instance unpredictability are close to 'known unknowns' in that the probabilities of various outcomes can be correctly pre-ca...

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Autometrics*

Cited by 240 publications

References 0 publications

News and correlations of CEEC-3 financial markets

News and correlations of CEEC-3 financial markets

Macroeconomic shocks and the probability of being employed

Unpredictability in economic analysis, econometric modeling and forecasting

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