- 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, ...
Expand abstract - Publication status:
- Published
- Peer review status:
- Peer reviewed
- Version:
- Accepted Manuscript
- Files:
-
-
(pdf, 237.0KB)
-
- Publisher copy:
- 10.1046/j.0305-9049.2003.00092.x
-
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- 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
- Copyright holder:
- Blackwell Publishing Ltd
- Copyright date:
- 2003
- Notes:
- © Blackwell Publishing Ltd, 2003. Published by Blackwell Publishing Ltd, 9600 Garsington Road, Oxford OX4 2DQ, UK and 350 Main Street, Malden, MA 02148, USA. The definitive version is available at www.blackwell-synergy.com.
Journal article
Consistent Model Selection by an Automatic "Gets" Approach.
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Oxford University Research Development Fund
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