Kamarudin, Nur Azulia (2021) Sure (EM)-Autometrics: An Automated Model Selection Procedure with Expectation Maximization Algorithm Estimation Method (S/O 14925). Project Report. UUM. (Submitted)

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Abstract

Model selection is the process of choosing a model from a set of possible models. The model's ability to generalise means it can fit both current and future data. Despite numerous emergences of procedures in selecting models automatically, there has been a lack of studies on procedures in selecting multiple equations models, particularly seemingly unrelated regression equations (SURE) models. Hence, this study concentrates on an automated model selection procedure for the SURE model by integrating the expectation-maximization (EM) algorithm estimation method, named SURE(EM)-Autometrics. This extension procedure was originally initiated from Autometrics, which is only applicable for a single equation. Simulation analysis was conducted under two strengths of correlation among equations and two levels of significance for a two-equation model with up to 18 variables in the initial general unrestricted model (GUM). Three econometric models have been utilised as a testbed for true specification search. The results were divided into four categories where a tight significance level of 1% had contributed a high percentage of all equations in the model contain variables precisely comparable to the true specifications. Then, an empirical comparison of four model selection techniques was conducted using national growth rates and water quality index (WQI) data. System selection to select all equations in the model simultaneously proved to be more efficient than single equation selection. SURE(EM)-Autometrics dominated the comparison by being at the top of the rankings for most of the error measures. Hence, the integration of EM algorithm estimation is applicable in improving the performance of automated model selection procedures for multiple equations models

Item Type:	Monograph (Project Report)
Additional Information:	GERAN: KOLEJ
Uncontrolled Keywords:	Expectation-maximization algorithm, automated model selection, multiple equations, seemingly unrelated regression equations
Subjects:	Q Science > QA Mathematics
Divisions:	Research and Innovation Management Centre (RIMC)
Depositing User:	Mdm. Sarkina Mat Saad @ Shaari
Date Deposited:	09 Dec 2024 12:58
Last Modified:	09 Dec 2024 12:58
URI:	https://repo.uum.edu.my/id/eprint/31652

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