This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.

Abstract Details

Activity Number: 173
Type: Contributed
Date/Time: Monday, August 2, 2010 : 10:30 AM to 12:20 PM
Sponsor: Business and Economic Statistics Section
Abstract - #306696
Title: Computer-Automated Model Selection: Friedman and Schwartz Revisited
Author(s): Neil R. Ericsson*+
Companies: Federal Reserve Board
Address: Stop 15, Washington, DC, 20551,
Keywords: Autometrics ; dynamic specification ; error correction ; model design ; model selection ; money demand

Using annual data from Friedman and Schwartz (1982), Hendry and Ericsson (1991a) developed an empirical model of the demand for broad money in the United Kingdom over 1878-1970. Model selection was a central issue in assessing the merits of Hendry and Ericsson's model, so the current paper re-evaluates that model with Autometrics, a recent third-generation algorithm for computer-automated model selection. Hendry and Ericsson's model is remarkably robust to the model selection path, as characterized through variations in the algorithm's settings for target size, pre-search testing, fixity of regressors, impulse indicator saturation, representation of the general model, and choice of dependent variable. This paper also assesses the empirical merits of Autometrics, using it to improve upon Hendry and Ericsson's model.

The address information is for the authors that have a + after their name.
Authors who are presenting talks have a * after their name.

Back to the full JSM 2010 program

2010 JSM Online Program Home

For information, contact or phone (888) 231-3473.

If you have questions about the Continuing Education program, please contact the Education Department.