Speaker: Dr. Jurgen DOORNIK (University of Oxford)
Date: 26 June 2019 (Wed)
Time: 11:00am – 1:00 pm
Venue: RLG402, Research Complex
Automatic Model Selection with Applications
Abstract:
Automatic model selection is a powerful tool for the empirical modeller. This workshop will introduce Autometrics, which successfully implements the general-to-specific approach. Foundations of the algorithm will be described, together with interesting extensions, including applications that have more variables than observations. Hands-on computer illustrations will be used throughout.
A modeller is confronted with:
- many possible inter-related variables that matter,
- subject to intermittent breaks (earthquakes, financial crises, etc.),
- possible outliers (oil shocks, tsunamies, etc.)
- changes to the measurement system
- and dramatic changes over longer periods (recessions,technological progress, climate change)
Big data may help, but can bring further problems:
- data overload,
- too much heterogeneity,
- hidden stratification and unknown dependence.
- Information overload and complexity
Automatic modelling essential to cope with these challenges. Autometrics is the implementation of automatic model selection, designed to handle these challenges:
- Automatic: computer is powerful modelling aid,
- General to specific: can maintain econometric properties,
- Extensive search: to handle correlated data,
- Efficient search: need to estimate many models,
- Statistical congruence: maintained as a search constraint,
- Statistical properties: extensively researched,
- Not maximizing goodness-of-fit: avoids overfitting,
- Controlled by gauge: expected number of falsely selected variables,
- Flexible: more variables than observations, different model classes (logit, SEM), …
I am impressed by the power of XIModeler to estimate 300 models and select the best model within 1 sec automatically.
Rsources:
XIMODELER: https://www.xlmodeler.com/
An introduction to XImodeler:https://www.xlmodeler.com/doc/xlmodeler.pdf
Oxmetrics: is a family of of software packages providing an integrated solution for the econometric analysis of time series, forecasting, financial econometric modelling, or statistical analysis of cross-section and panel data. OxMetrics consists of a front-end program called OxMetrics, and individual application modules such as PcGive, STAMP, etc. Oxmetrics