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Computer Automation of General-to-Specific Model Selection Procedures.

Abstract:

Disputes about econometric methodology partly reflect a lack of evidence on alternative approaches. We reconsider econometric model selection from a computer-automation perspective, focusing on general-to-specific reductions, embodied in PcGets. Starting from a general congruent model, standard testing procedures eliminate statistically insignificant variables, with diagnostic tests checking the validity of reductions, ensuring a congruent final selection. Since jointly selecting and diagnost...

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Publication status:
Published
Peer review status:
Peer reviewed
Version:
Accepted Manuscript

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Publisher copy:
10.1016/S0165-1889(00)00058-0

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Institution:
University of Oxford
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Institution:
University of Oxford
Publisher:
Elsevier Science B.V.
Journal:
Journal of Economic Dynamics and Control Journal website
Volume:
25
Issue:
6-7
Publication date:
2001-06-05
DOI:
URN:
uuid:0e4956c1-5ea2-421e-9bb7-5ee316978b2c
Local pid:
oai:economics.ouls.ox.ac.uk:10927
Language:
English

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