Hostname: page-component-586b7cd67f-t7fkt Total loading time: 0 Render date: 2024-11-28T15:30:58.176Z Has data issue: false hasContentIssue false
  • English
  • Français

AUTOMATED INFERENCE AND THE FUTURE OF ECONOMETRICS: A COMMENT

Published online by Cambridge University Press:  08 February 2005

Paolo Paruolo
Paolo Paruolo
Affiliation:
University of Insubria
Get access Rights & Permissions [Opens in a new window]

Abstract

This note discusses the (dis-)similarities between automated inference and computer-aided decisions, at the interface of econometrics and economics. It is argued that computer-aided decisions are best suited for scientific communication. For the future, the topic of learning is singled out as one of the most promising areas of integration of econometric techniques and economics.I thank Peter Phillips and an anonymous referee for useful remarks on a previous version of this comment. The usual disclaimer applies.

Type
Research Article
Information
Econometric Theory , Volume 21 , Issue 1 , February 2005 , pp. 78 - 84
Copyright
© 2005 Cambridge University Press

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

Frisch, R. (1933) Editor's note, Econometrica 1, 1–4.Google Scholar
Granger, C.W.J. & D.F. Hendry (2005) A dialogue concerning a new instrument for econometric modelling. Econometric Theory (this issue).Google Scholar
Granger, C.W.J., M.L. King, & H. White (1995) Comments on testing economic theories and the use of model selection criteria. Journal of Econometrics 67, 183–187.Google Scholar
Guidolin, M. & A. Timmermann (2003) Option prices and implied volatility dynamics under Bayesian learning. Journal of Economic Dynamics and Control 27, 717–769.Google Scholar
Hsu, J.C. (1996) Multiple Comparisons, Theory and Methods. Chapman and Hall/CRC Press.
Johansen, S. (1992) Determination of cointegration rank in the presence of a linear trend. Oxford Bulletin of Economics and Statistics 54, 383–397.Google Scholar
Johansen, S. & I.M. Johnstone (1990) Hotelling's theorem on the volume of tubes: Some illustrations in simultaneous inference and data analysis. Annals of Statistics 18, 652–684.Google Scholar
Kim, J., N. De Marchi, & M.S. Morgan (1995) Empirical model particularities and belief in the natural rate hypothesis. Journal of Econometrics 67, 81–102.Google Scholar
Leeb, H. & B.M. Pötscher (2003) Can one estimate the conditional distribution of post-model-selection estimators? WP available at http://www.univie.ac.at/seam/Poetscher/poetscher-pub.html.
Mirowski, P. (1995) Three ways to think about testing in econometrics. Journal of Econometrics 67, 25–46.Google Scholar
Phillips, P.C.B. (1996) Econometric model determination. Econometrica 64, 763–812.Google Scholar
Pötscher, B.M. (1991) Effects of model selection on inference. Econometric Theory 7, 163–185.Google Scholar
Rao, C.R. & Y. Wu (2001) On model selection (with discussion). In P. Lahiri (ed.) Model Selection, IMS Lecture Notes, vol. 38. Institute of Mathematical Statistics.
Vuong, Q.H. (1989) Likelihood ratio tests for model selection and non-nested hypotheses. Econometrica 57, 307–333.Google Scholar