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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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Publication status:
Published
Peer review status:
Peer reviewed

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Institution:
University of Oxford
Research group:
Econometrics
Oxford college:
Nuffield College
Department:
Social Sciences Division - Economics
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Institution:
University of Kent
Department:
Department of Economics
Publisher:
Blackwell Publishing Publisher's website
Journal:
The Economic Journal Journal website
Volume:
115
Issue:
502
Pages:
C32-C61
Publication date:
2005-03-05
DOI:
ISSN:
0013-0133
URN:
uuid:4a6af571-5e0d-4046-ab82-953b37695b05
Local pid:
ora:1931
Language:
English
Keywords:
Subjects:

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