Journal article
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 diagnostic testing has eluded theoretical analysis, we study modelling strategies by simulation. The Monte Carlo experiments show that PcGets recovers the DGP specification from a general model with size and power close to commencing from the DGP itself.
- Publication status:
- Published
- Peer review status:
- Peer reviewed
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- Files:
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(Preview, Accepted manuscript, pdf, 420.9KB, Terms of use)
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- Publisher copy:
- 10.1016/S0165-1889(00)00058-0
Authors
- Publisher:
- Elsevier
- Journal:
- Journal of Economic Dynamics and Control More from this journal
- Volume:
- 25
- Issue:
- 6-7
- Pages:
- 831 - 866
- Publication date:
- 2001-06-01
- DOI:
- ISSN:
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0165-1889
- Language:
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English
- UUID:
-
uuid:0e4956c1-5ea2-421e-9bb7-5ee316978b2c
- Local pid:
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oai:economics.ouls.ox.ac.uk:10927
- Deposit date:
-
2011-08-16
- ARK identifier:
Terms of use
- Copyright holder:
- Elsevier Science BV
- Copyright date:
- 2001
- Notes:
- © 2001 Elsevier Science B.V. All rights reserved. NOTICE: this is the author's version of a work that was accepted for publication in Journal of Economic Dynamics and Control. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Economic Dynamics and Control, 25, 6-7, (June 2001) DOI#10.1016/S0165-1889(00)00058-0
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