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...Expand abstract
- Publication status:
- Peer review status:
- Peer reviewed
- Accepted Manuscript
- Copyright holder:
- Elsevier Science B.V.
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- © 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
Computer Automation of General-to-Specific Model Selection Procedures.
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