Journal article
The Properties of Automatic Gets Modelling.
- 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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Bibliographic Details
- Publisher:
- Blackwell Publishing
- Journal:
- Economic Journal
- Volume:
- 115
- Issue:
- 502
- Pages:
- 32 - 61
- Publication date:
- 2005-03-01
- DOI:
- ISSN:
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0013-0133
Item Description
- Language:
- English
- UUID:
-
uuid:317763c8-b4b2-41ab-90dc-9f5a19eccd3a
- Local pid:
- oai:economics.ouls.ox.ac.uk:10532
- Deposit date:
- 2011-08-16
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- Copyright date:
- 2005
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