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Automatic model selection: a new instrument for social science

Abstract:

The properties of automatic model selection are discussed, focusing on PcGets. We explain the background concepts and why automatic methods can perform well. Criticisms of model selection procedures are noted and rebutted. The algorithm is sketched, distinguishing between costs of search and costs of inference: the latter are unavoidable in any statistical science, whereas the costs of searching seem small in comparison. The choice of a ‘search strategy’ and the actual simulation performance ...

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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
Publisher:
Elsevier Publisher's website
Journal:
Electoral Studies Journal website
Volume:
23
Issue:
3
Pages:
525-544
Publication date:
2004-09-05
DOI:
ISSN:
0261-3794
URN:
uuid:85bd106e-7b57-4a95-a6cf-bfee7cb517fe
Local pid:
ora:2004

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