Workshop: Automatic Model Selection with Applications

Speaker:  Dr. Jurgen DOORNIK (University of Oxford)

Date:       26 June 2019 (Wed)

Time:       11:00am – 1:00 pm

Venue:     RLG402, Research Complex

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), …
XlModeler brings regression and volatility models of OxMetrics to Excel

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

Workshop PPT