- Abstract:
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After reviewing the simulation performance of general-to-specific automatic regression-model selection, as embodied in PcGets, we show how model selection can be non-distortionary: approximately unbiased "selection estimates" are derived, with reported standard errors close to the sampling standard deviations of the estimated DGP parameters, and a near-unbiased goodness-of-fit measure. The handling of theory-based restrictions, non-stationarity and problems posed by collinear data are conside...
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(pdf, 502.4KB)
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- Publisher copy:
- DOI: 10.1111/j.0013-0133.2005.00979.x
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- Journal:
- The Economic Journal
- Volume:
- 115
- Issue:
- 502
- Publication date:
- 2005-03-05
- DOI:
- URN:
-
uuid:317763c8-b4b2-41ab-90dc-9f5a19eccd3a
- Local pid:
- oai:economics.ouls.ox.ac.uk:10532
- Language:
- English
- Copyright date:
- 2005
Journal article
The Properties of Automatic Gets Modelling.
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