Empirical Model Discovery and Theory Evaluation

Automatic Selection Methods in Econometrics

A synthesis of the authors' groundbreaking econometric research on automatic model selection, which uses powerful computational algorithms and theory evaluation.

Despite important differences, discovery and evaluation in economics are similar
to those of other sciences, and the same seven common aspects can be
discerned. The complexity of macroeconomic data intrinsically involves empirical
discovery with theory evaluation, as well as re- quiring rigorous evaluation of
selected models to ascertain their viability. Directly fitting a theory-specified
model limits the potential for discovery. Retrospectively, covert discovery has
been common in ...