Timeline for General-to-specific subset selection ("Autometrics") performing well in macroeconomics
Current License: CC BY-SA 3.0
10 events
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| Nov 16, 2018 at 15:23 | comment | added | Richard Hardy | @luchonacho, lucky you! Hendry should probably have been awarded the prize together with Engle and Granger. In my humble and ill-informed opinion, all three of them were giants in the field. I especially admire Granger and then Hendry, I think. | |
| Nov 16, 2018 at 12:24 | comment | added | luchonacho | He taught me econometrics :) Autometrics is a kind of religion around here. You know, he is the original author of the cointegration concept, which he discussed with Granger, who went on and published and became famous (even to the Nobel prize level) for it, without ever acknowledging Hendry. It's sad actually. | |
| Nov 16, 2018 at 11:43 | comment | added | Richard Hardy |
@luchonacho, glad you found it interesting. I also envy your for having discussed this with Hendry himself! My gut feeling about GETS/Autometrics is skeptical, and I cannot even say why exactly, but I have met some proponents (e.g. the author of the R package gets) who are quite enthusiastic about it.
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| Nov 16, 2018 at 11:30 | comment | added | luchonacho | Interesting post/question. It seems to me that autometrics is very taylored to time-series macroeconomics. Consider however model selection in panel data, where there is a whole array of other issues involved, e.g. clustering choices, unobserved heterogeneity, selection, missing data, and etc. I would be very keen to see a simulation of autometrics' performance in that context. Also, in models with heterogeneous agents, autometrics is helpless. Hendry said this himself to me once. | |
| Apr 13, 2017 at 12:44 | history | edited | CommunityBot |
replaced http://stats.stackexchange.com/ with https://stats.stackexchange.com/
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| May 24, 2016 at 15:39 | answer | added | EdM | timeline score: 1 | |
| May 24, 2016 at 12:01 | history | edited | Richard Hardy | CC BY-SA 3.0 |
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| May 24, 2016 at 10:59 | history | edited | Richard Hardy | CC BY-SA 3.0 |
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| May 24, 2016 at 6:53 | history | edited | Richard Hardy | CC BY-SA 3.0 |
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| May 23, 2016 at 17:27 | history | asked | Richard Hardy | CC BY-SA 3.0 |