Semi-automatic Non-linear Model Selection

@inproceedings{Castle2013SemiautomaticNM,
  title={Semi-automatic Non-linear Model Selection},
  author={Jennifer L. Castle and Magdalen and David F. Hendry},
  year={2013}
}
We consider model selection for non-linear dynamic equations with more candidate variables than observations, based on a general class of non-linear-in-the-variables functions, addressing possible location shifts by impulse-indicator saturation. After an automatic search delivers a simplified congruent terminal model, an encompassing test can be implemented against an investigator’s preferred non-linear function. When that is non-linear in the parameters, such as a threshold model, the overall… CONTINUE READING
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