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The Properties of Automatic "GETS" Modelling

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Author Info
David F. Hendry
Hans-Martin Krolzig

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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. Copyright 2005 Royal Economic Society.

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.0013-0133.2005.00979.x
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Publisher Info
Article provided by Royal Economic Society in its journal The Economic Journal.

Volume (Year): 115 (2005)
Issue (Month): 502 (03)
Pages: C32-C61
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Handle: RePEc:ecj:econjl:v:115:y:2005:i:502:p:c32-c61

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  1. Krolzig, Hans-Martin & Hendry, David F., 2001. "Computer automation of general-to-specific model selection procedures," Journal of Economic Dynamics and Control, Elsevier, vol. 25(6-7), pages 831-866, June. [Downloadable!] (restricted)
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  2. Savin, N.E., 1984. "Multiple hypothesis testing," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 14, pages 827-879 Elsevier. [Downloadable!] (restricted)
  3. Banerjee, Anindya & Hendry, David F, 1992. "Testing Integration and Cointegration: An Overview," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 225-55, August.
  4. Kevin D. Hoover & Stephen J. Perez, 1999. "Data mining reconsidered: encompassing and the general-to-specific approach to specification search," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 167-191.
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  5. Bruce E. Hansen, 1999. "Discussion of 'Data mining reconsidered'," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 192-201.
  6. Lovell, Michael C, 1983. "Data Mining," The Review of Economics and Statistics, MIT Press, vol. 65(1), pages 1-12, February. [Downloadable!] (restricted)
  7. Hoover, Kevin, 2000. "Truth and Robustness in Cross-Country Growth Regression," Working Papers 01-1, University of California at Davis, Department of Economics. [Downloadable!]
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  8. Breusch, T S & Pagan, A R, 1980. "The Lagrange Multiplier Test and Its Applications to Model Specification in Econometrics," Review of Economic Studies, Blackwell Publishing, vol. 47(1), pages 239-53, January. [Downloadable!] (restricted)
  9. Neil R. Ericsson & James G. MacKinnon, 1999. "Distributions of error correction tests for cointegration," International Finance Discussion Papers 655, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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  10. Scheuren F., 2003. "Introduction," The American Statistician, American Statistical Association, vol. 57, pages 189-189, August. [Downloadable!] (restricted)
  11. Omtzigt Pieter, 2002. "Automatic identification and restriction of the cointegration space," Economics and Quantitative Methods qf0213, Department of Economics, University of Insubria. [Downloadable!]
  12. H. E. Frech III, 2003. "Introduction," International Journal of the Economics of Business, Taylor and Francis Journals, vol. 10(2), pages 133-133, July. [Downloadable!] (restricted)
  13. Hans-Martin Krolzig, 2001. "General--to--Specific Reductions of Vector Autoregressive Processes," Computing in Economics and Finance 2001 164, Society for Computational Economics. [Downloadable!]
  14. Godfrey, Leslie G, 1978. "Testing for Higher Order Serial Correlation in Regression Equations When the Regressors Include Lagged Dependent Variables," Econometrica, Econometric Society, vol. 46(6), pages 1303-10, November. [Downloadable!] (restricted)
  15. Scheuren F., 2003. "Introduction," The American Statistician, American Statistical Association, vol. 57, pages 253-253, November. [Downloadable!] (restricted)
  16. Godfrey, Leslie G, 1978. "Testing against General Autoregressive and Moving Average Error Models When the Regressors Include Lagged Dependent Variables," Econometrica, Econometric Society, vol. 46(6), pages 1293-1301, November. [Downloadable!] (restricted)
  17. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May. [Downloadable!] (restricted)
  18. J. Rajendran Pandian & Paul L. Robertson, 2003. "Introduction," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 24(4), pages 241-243. [Downloadable!]
  19. P. Dorian Owen, 2003. "General-to-Specific Modelling Using PcGets," Journal of Economic Surveys, Blackwell Publishing, vol. 17(4), pages 609-628, 09. [Downloadable!] (restricted)
  20. J. David Baldwin & Ronald L. Oaxaca, 2003. "Editors' Introduction," American Economic Review, American Economic Association, vol. 93(2), pages 7-7, May. [Downloadable!]
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