IIDS Workshop: Automatic Model Selection with Applications

Speaker: Dr. Jurgen DOORNIK (University of Oxford)

Date: 26 June 2019 (Wed)

Time: 11:00 am – 1:00 pm

Venue: RLG402, Research Complex

Abstract: Automatic model selection is a powerful tool for the empirical modeller. This workshop will introduce Autometrics, which successfully implements the general-to-specific approach. Foundations of the algorithm will be described, together with interesting extensions, including applications that have more variables than observations. Hands-on computer illustrations will be used throughout.