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New Developments in Automatic General-to-Specific Modeling.

Abstract:

We consider the analytic basis for PcGets, an Ox Package implementing automatic generalto- specific (Gets) modelling for linear, dynamic, regression models. PcGets mimics the theory of reduction – whereby empirical models arise – by commencing from a general congruent specification, which is then simplified to a minimal representation consistent with the desired selection criteria and the data evidence. We discuss the properties of PcGets, since results to date suggest that model selection ca...

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Publisher:
Princeton University Press
Pages:
379 - 419
Host title:
Econometrics and the philosophy of economics: Theory-data confrontations in economics
Place of publication:
Princeton and Oxford
Publication date:
2003-01-01
ISBN:
0-691-11300-9
Language:
English
UUID:
uuid:5c841365-ef71-4ddf-a13d-37ca6392593b
Local pid:
oai:economics.ouls.ox.ac.uk:9640
Deposit date:
2011-08-16

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