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Consistent Model Selection by an Automatic "Gets" Approach

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Author Info
Julia Campos
David F. Hendry
Hans-Martin Krolzig

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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, "PcGets" has a rather different finite-sample behaviour. Pre-selecting to remove many of the candidate variables is confirmed as enhancing the performance of SIC. Copyright 2003 Blackwell Publishing Ltd.

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1046/j.0305-9049.2003.00092.x
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Publisher Info
Article provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics.

Volume (Year): 65 (2003)
Issue (Month): s1 (December)
Pages: 803-819
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Handle: RePEc:bla:obuest:v:65:y:2003:i:s1:p:803-819

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  1. Kirstin Hubrich & David F. Hendry, 2005. "Forecasting Aggregates by Disaggregates," Computing in Economics and Finance 2005 270, Society for Computational Economics. [Downloadable!]
  2. David F. Hendry & Hans-Martin Krolzig, 2004. "We Ran One Regression," Economics Papers 2004-W17, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
  3. J. James Reade & Ulrich Volz, 2009. "Leader of the Pack? German Monetary Dominance in Europe Prior to EMU," Economics Series Working Papers 419, University of Oxford, Department of Economics. [Downloadable!]
  4. Eduardo Acosta-González & Fernando Fernández-Rodríguez, 2007. "Model selection via genetic algorithms illustrated with cross-country growth data," Empirical Economics, Springer, vol. 33(2), pages 313-337, September. [Downloadable!] (restricted)
  5. Søren Johansen & David F. Hendry & Carlos Santos, 2007. "Selecting a Regression Saturated by Indicators," CREATES Research Papers 2007-36, School of Economics and Management, University of Aarhus. [Downloadable!]
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  6. SANTOS, Carlos & OLIVEIRA, Maria Alberta, 2007. "Modelling The German Yield Curve And Testing The Lucas Critique, 1975-2001," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 7(1). [Downloadable!] (restricted)
  7. Carlos Santos & David Hendry & Soren Johansen, 2008. "Automatic selection of indicators in a fully saturated regression," Computational Statistics, Springer, vol. 23(2), pages 317-335, April. [Downloadable!] (restricted)
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  8. Dietmar Maringer & Peter Winker, 2004. "Optimal Lag Structure Selection in VEC-Models," Computing in Economics and Finance 2004 155, Society for Computational Economics. [Downloadable!]
  9. Clements, Michael P & Galvão, Ana Beatriz, 2006. "Macroeconomic Forecasting with Mixed Frequency Data : Forecasting US output growth and inflation," The Warwick Economics Research Paper Series (TWERPS) 773, University of Warwick, Department of Economics. [Downloadable!]
  10. Jennifer L. Castle & David F. Hendry, 2007. "Forecasting UK Inflation: the Roles of Structural Breaks and Time Disaggregation," Economics Series Working Papers 309, University of Oxford, Department of Economics. [Downloadable!]
  11. Julia Campos & Neil R. Ericsson & David F. Hendry, 2005. "General-to-specific modeling: an overview and selected bibliography," International Finance Discussion Papers 838, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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