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Consistent Model Selection by an Automatic "Gets" Approach.

Abstract:

We establish the consistency of the selection procedures embodied in PcGets, and compare their performance with other model selection criteria in linear regressions. The significance levels embedded in the PcGets Liberal and Conservative algorithms coincide in very large samples with those implicit in the Hannan-Quinn (HQ) and Schwarz information criteria (SIC) respectively. Thus, both PcGets rules are consistent under the same conditions as HQ and SIC. However, ...

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Publication status:
Published
Peer review status:
Peer reviewed
Version:
Accepted Manuscript

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Publisher copy:
10.1046/j.0305-9049.2003.00092.x

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Institution:
University of Oxford
Role:
Author
Oxford University Research Development Fund More from this funder
Publisher:
Blackwell Publishing Ltd
Journal:
Oxford Bulletin of Economics and Statistics Journal website
Volume:
65
Issue:
s1
Publication date:
2003-01-01
DOI:
URN:
uuid:8b2af3cd-2b4a-4fc0-b505-09c3d16c370c
Local pid:
oai:economics.ouls.ox.ac.uk:11150
Language:
English

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