Seminars Gorman Workshop Lecture Lists Exam Papers Consultative Committee Students
Model Selection - Michaelmas 2008
Lecturer: Jennifer Castle
Model Selection:
Course outline and reading list
[3 Nov. 2008]
Lecture 1 Slides [3 Nov. 2008]
Lecture 2 Slides [17 Nov. 2008]
Lecture 3 Slides [23 Nov. 2008]
Lecture 4 Slides [1 Dec. 2008]
Reading Material
These 2 papers cover most of the material discussed in lectures 2 and 3. The precise details of the PcGets algorithm aren't essential, but
the selection principles and properties should be understood:
Krolzig and Hendry (2001),
Computer automation of general-to-specific model selection procedures.
Hendry and Krolzig (2005).
The Properties of Automatic "GETS" Modelling.
For a general overview, see section 3 of:
Campos, Ericsson and Hendry (2005).
Editors Introduction, to General to Specific Modelling.
See Reduction Theory, Model Selection and Refuting Criticisms sections of the PcGets website.
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