## An Introduction to Best Empirical Models when the Parameter Space is Infinite Dimensional ∗

Citations: | 2 - 0 self |

### BibTeX

@MISC{Ploberger_anintroduction,

author = {Werner Ploberger and Peter C. B. Phillips},

title = {An Introduction to Best Empirical Models when the Parameter Space is Infinite Dimensional ∗},

year = {}

}

### OpenURL

### Abstract

### Citations

9216 |
Elements of Information Theory
- Cover, Thomas
- 1991
(Show Context)
Citation Context ... There are some applications of our ideas to problems in economic theory (e.g. Blume and Easley, 2001; Sandroni, 2000). (d) There are possible applications in other areas like information theory (cf. =-=Cover and Thomas, 1991-=-). (e) In conditional Gaussian models – like Examples (i) and (iii) above – the ‘distance’ measure we construct gives bounds for the additional prediction error because of our lack of knowledge of the... |

294 | Fisher information and stochastic complexity - Rissanen - 1996 |

268 | Stochastic Complexity and Modeling - Rissanen - 1986 |

191 | Forecasting and Conditional Projection Using Realistic Prior Distributions,” Econometric Reviews - Doan, Litterman, et al. - 1984 |

86 |
Do Markets Favor Agents Able to Make Accurate Predictions
- Sandroni
- 2000
(Show Context)
Citation Context ...e methods by showing that they reach this bound. Ó Blackwell Publishing Ltd 2003880 Bulletin (c) There are some applications of our ideas to problems in economic theory (e.g. Blume and Easley, 2001; =-=Sandroni, 2000-=-). (d) There are possible applications in other areas like information theory (cf. Cover and Thomas, 1991). (e) In conditional Gaussian models – like Examples (i) and (iii) above – the ‘distance’ meas... |

83 | Asymptotics in Statistics. Some Basic Concepts - Cam, Yang - 1990 |

69 |
Present position and potential developments: Some personal views, statistical theory, the prequential approach
- Dawid
- 1984
(Show Context)
Citation Context ...he recent book by Keuzenkamp, McAleer and Zellner (2001) provide some discussion of these and related issues. Our approach is based on a concise analysis of the concept of a ‘model’ for the data (cf. =-=Dawid, 1984-=-). Let us assume the posited data-generating processes can be described by probability measures Ph , where h 2 Q R k and all the usual conditions regarding the likelihood function are fulfilled and le... |

53 | An asymptotic theory of Bayesian Inference for time series - Phillips, Ploberger - 1996 |

46 | Econometric model determination - Phillips - 1996 |

44 | If you’re so smart, why aren’t you rich? Belief selection in complete and incomplete markets, Cowles Foundation Discussion Papers - Blume, Easley - 2001 |

41 | Stochastic Complexity (with discussion - Rissanen - 1987 |

37 | A 1991 Elements of Information Theory - Cover, Thomas |

27 |
2006]:If Youre So Smart, Why Arent You Rich
- blume, easley
(Show Context)
Citation Context ...lity properties for these methods by showing that they reach this bound. Ó Blackwell Publishing Ltd 2003880 Bulletin (c) There are some applications of our ideas to problems in economic theory (e.g. =-=Blume and Easley, 2001-=-; Sandroni, 2000). (d) There are possible applications in other areas like information theory (cf. Cover and Thomas, 1991). (e) In conditional Gaussian models – like Examples (i) and (iii) above – the... |

15 | Empirical limits for time series econometric models
- Ploberger, Phillips
- 2003
(Show Context)
Citation Context ...ty measures. For statistical applications, one of the most successful ones is the Kullback– Leibler (KL) information distance, namely Z log dGðnÞ dðPhjFnÞ: dPhjFn More generally, in an earlier study (=-=Ploberger and Phillips, 2003-=-) we investigated the random variables logðdG ðnÞ Þ=ðdPhjF n Þ directly and showed that these random variables must – for ‘most’ values of h – be relatively small in a certain well defined sense. Only... |

12 | Bayesian Asymptotic Theory in a Time Series Model with a Possible Nonstationary Process, Econometric Theory - Kim - 1994 |

8 | Bayesian analysis, model selection and prediction - Zellner, Min - 1992 |

6 | Asymptotics of Predictive Stochastic Complexity - Gerencser, Rissanen - 1992 |

4 | Simplicity, Inference and Econometric Modelling - Keuzenkamp, McAleer, et al. - 1999 |

2 |
Real and Functional Analysis, 3rd edn
- Lang
- 1993
(Show Context)
Citation Context ...ian distribution with variances given by C )1 , i.e. empirical models with better bounds are only possible on exceptional sets! For the construction of our bound we need some functional analysis (cf. =-=Lang, 1993-=-, chapter XVIII, pp. 438–463). Assumption A1.2 ensures that A can be interpreted as a bounded operator on the Hilbert space of square Ó Blackwell Publishing Ltd 2003Empirical models with infinite dim... |

1 | Real and Fuctional Analysis, 3rd edition - Lang - 1993 |