We Ran One Regression.

Working paper

The recent controversy over model selection in the context of 'growth regressions' has led to some remarkably numerous 'estimation' strategies, including 4 million regressions by Sala-i-Martin (1997b). Only one regression is really needed, namely the general unrestricted model, appropriately reduced to a parsimonious encompassing congruent representation. Such an outcome was achieved in one run on PcGets, within 15 minutes of receiving from Professor Ley the data set in Fernandez et al (2001). We reproduce that equation, and corroborate the findings in Hoover and Perez (2004), who also adopt an automatic general-to-simple approach.

Authors: Hendry, D; Krolzig, H

• Publisher: Nuffield College (University of Oxford)
• Series: Economics Working Papers
• Publication date: 2004-03-10
• Language: English