Model Selection and Simplification Using Lattices
CERGE-EI Working Paper No. 164
36 Pages Posted: 13 Apr 2001
Date Written: November 2000
This paper shows how to cope with a problem of model selection and simplification using the principle of coherence (Gabriel (1969): A procedure involving testing a set of models ought not accept a model while rejecting a more general model). The mathematical lattice theory is used to define a partial ordering over the space of considered models. Several examples of partial ordering in large families of models are given along with a searching algorithm to determine the best model with respect to chosen criteria.
Keywords: Model selection and simplification, principle of coherence, lattice of models, regression, ARMA models
JEL Classification: C14, C25, C52
Suggested Citation: Suggested Citation