Model Selection and Simplification Using Lattices

Jan Hanousek and Jaromir Antoch

CERGE-EI Working Papers from The Center for Economic Research and Graduate Education - Economics Institute, Prague

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 determine 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)
Date: 2000-11
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Working Paper: Model Selection and Simplification Using Lattices (2001)
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