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The Properties of Automatic Gets Modelling

Krolzig, Hans-Martin, Hendry, David F. (2005) The Properties of Automatic Gets Modelling. The Economic Journal, 115 . C32-C61. ISSN 0013-0133. (doi:10.1111/j.0013-0133.2005.00979.x) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:579)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided.
Official URL
http://dx.doi.org/10.1111/j.0013-0133.2005.00979.x

Abstract

After reviewing the simulation performance of general‐to‐specific automatic regression‐model selection, as embodied in PcGets, we show how model selection can be non‐distortionary: approximately unbiased ‘selection estimates’ are derived, with reported standard errors close to the sampling standard deviations of the estimated DGP parameters, and a near‐unbiased goodness‐of‐fit measure. The handling of theory‐based restrictions, non‐stationarity and problems posed by collinear data are considered. Finally, we consider how PcGets can handle three ‘intractable’ problems: more variables than observations in regression analysis; perfectly collinear regressors; and modelling simultaneous equations without a priori restrictions.

Item Type: Article
DOI/Identification number: 10.1111/j.0013-0133.2005.00979.x
Subjects: H Social Sciences
Divisions: Divisions > Division of Human and Social Sciences > School of Economics
Depositing User: C. Hudson
Date Deposited: 19 Dec 2007 18:21 UTC
Last Modified: 16 Nov 2021 09:39 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/579 (The current URI for this page, for reference purposes)
Krolzig, Hans-Martin: https://orcid.org/0000-0001-8488-7048
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