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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 diagnost...

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Hans-Martin Krolzig More by this author
David Hendry More by this author
Volume:
003
Series:
Discussion paper series
Publication date:
2000
URN:
uuid:46ff9e11-18a2-4a12-9369-8203835735e8
Local pid:
ora:1039
Language:
English

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