Model Selection and Simplification Using Lattices

Jaromir Antoch and Jan Hanousek ()
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Jaromir Antoch: Charles University

Econometrics from EconWPA

Abstract: This paper shows how to cope with a problem of model selection and simplification using the principle of coherence (Gabriel (1969): A procedure involving testing a set of models ought not accept a model while rejecting a more general model). The mathematical lattice theory is used to define a partial ordering over the space of considered models. Several examples of partial ordering in large families of models are given along with a searching algorithm to deter- mine the best model with respect to chosen criteria.

Keywords: Model selection and simplification; Principle of coherence; Lattice of models; Regression; ARMA models (search for similar items in EconPapers)
JEL-codes: C14 C25 C52 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-evo
Date: 2001-02-12
Note: Type of Document - Acrobat PDF; pages: 36 ; figures: included
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http://129.3.20.41/eps/em/papers/0012/0012004.pdf (application/pdf)

Related works:
Working Paper: Model Selection and Simplification Using Lattices (2000)
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpem:0012004

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