MODELSEL: GAUSS module for Model Selection in Time Series Analysis

Scott Hacker and Abdulnasser Hatemi-J
Additional contact information
Scott Hacker: Jonkoping University, Sweden

Statistical Software Components from Boston College Department of Economics

Abstract: In applied research, model selection is an important issue since the true model is not known a priory. Thus, which model should be used is a purely empirical issue. The current module implements the Hacker and Hatemi-J (2022) method for selecting the best time series model among various potential ones using some common information criteria. In addition, model weights based upon these information criteria are provided to consider the weight of evidence supporting one model or set of models over others. These weights could possibly be used for averaging the estimated parameters across models in order to account for model uncertainty. For technical details see Hacker and Hatemi-J (2022) "Model Selection in Time Series Analysis: Using Information Criteria as an Alternative to Hypothesis Testing", Journal of Economic Studies, Forthcoming.

Language: GAUSS
Requires: GAUSS
Keywords: model selection; time series (search for similar items in EconPapers)
Date: 2021-09-12
References: Add references at CitEc
Citations:

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/a/all_models_paper.txt program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/case_d_example.txt sample data (text/plain)
http://fmwww.bc.edu/repec/bocode/m/msita.prg program code (text/plain)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:g00019

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().