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Outliers and Model Selection: Discussion of the Paper by Søren Johansen and Bent Nielsen
Author(s) -
Doornik Jurgen A.,
Hendry David F.
Publication year - 2016
Publication title -
scandinavian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.359
H-Index - 65
eISSN - 1467-9469
pISSN - 0303-6898
DOI - 10.1111/sjos.12208
Subject(s) - outlier , mathematics , econometrics , model selection , statistics , selection (genetic algorithm) , bent molecular geometry , computer science , artificial intelligence , engineering , structural engineering
Abstract It is argued that model selection and robust estimation should be handled jointly. Impulse indicator saturation makes that possible, but leads to the situation where there are more variables than observations. This is illustrated by revisiting the analysis of Tobin's food data.