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The Properties of Automatic Gets Modelling.

Abstract:

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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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

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