Model Selection and Simplification Using Lattices

CERGE-EI Working Paper No. 164

36 Pages Posted: 13 Apr 2001

See all articles by Jaromir Antoch

Jaromir Antoch

Charles University in Prague - Faculty of Mathematics and Physics

Jan Hanousek

CERGE-EI (Center for Economic Research and Graduate Education - Economics Institute); Charles University in Prague; Academy of Sciences of the Czech Republic; Centre for Economic Policy Research (CEPR)

Multiple version iconThere are 2 versions of this paper

Date Written: November 2000

Abstract

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

Antoch, Jaromir and Hanousek, Jan, Model Selection and Simplification Using Lattices (November 2000). CERGE-EI Working Paper No. 164. Available at SSRN: https://ssrn.com/abstract=263985 or http://dx.doi.org/10.2139/ssrn.263985

Jaromir Antoch

Charles University in Prague - Faculty of Mathematics and Physics ( email )

Sokolovska 83
Prague, 186 75
Czech Republic

Jan Hanousek (Contact Author)

CERGE-EI (Center for Economic Research and Graduate Education - Economics Institute) ( email )

Politickych veznu 7
Prague 1, 111 21
Czech Republic
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420 2 2421 1374 (Fax)

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