Journal article
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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- Publisher copy:
- 10.1111/j.0013-0133.2005.00979.x
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Authors
Bibliographic Details
- 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
Item Description
- Language:
- English
- Keywords:
- Subjects:
Terms of use
- Copyright holder:
- Royal Economic Society
- Copyright date:
- 2005
- Notes:
-
The full-text of this article is not available in ORA at this time. Citation: Hendry, D. F. & Krolzig, H-M. (2005). 'The properties of automatic GETS modelling', The Economic Journal, 115(502), C32-C61. [The definitive version is available at www.blackwell-synergy.com].
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