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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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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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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  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)
    Other versions:
  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)
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    Other versions:
  5. Bruce E. Hansen, 1999. "Discussion of 'Data mining reconsidered'," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 192-201.
  6. Editors, 2003. "Editor's Introduction," American Journal of Economics and Sociology, Blackwell Publishing, vol. 62(2), pages 315-318, 04. [Downloadable!] (restricted)
  7. Lovell, Michael C, 1983. "Data Mining," The Review of Economics and Statistics, MIT Press, vol. 65(1), pages 1-12, February. [Downloadable!] (restricted)
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  11. Scheuren F., 2003. "Introduction," The American Statistician, American Statistical Association, vol. 57, pages 189-189, August. [Downloadable!] (restricted)
  12. Omtzigt Pieter, 2002. "Automatic identification and restriction of the cointegration space," Economics and Quantitative Methods qf0213, Department of Economics, University of Insubria. [Downloadable!]
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  16. Editors, 2003. "Editor's Introduction," American Journal of Economics and Sociology, Blackwell Publishing, vol. 62(4), pages 645-648, October. [Downloadable!] (restricted)
  17. Hans-Martin Krolzig, 2001. "General--to--Specific Reductions of Vector Autoregressive Processes," Computing in Economics and Finance 2001 164, Society for Computational Economics. [Downloadable!]
  18. 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)
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  22. Fukao, Kyoji & Hoshi, Takeo & Nagaoka, Sadao & Weinstein, David, 2003. "Editors' introduction," Journal of the Japanese and International Economies, Elsevier, vol. 17(4), pages 401-403, December. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Chevillon, Guillaume & Rifflart, Christine, 2007. "Physical Market Determinants of the Price of Crude Oil and the Market Premium," ESSEC Working Papers DR 07020, ESSEC Research Center, ESSEC Business School. [Downloadable!]
  2. Majocchi Antonio & Pavione Enrica, 2002. "International franchising in Italy: trends and perspectives," Economics and Quantitative Methods qf0215, Department of Economics, University of Insubria. [Downloadable!]
  3. Antonio Ciccone & Marek Jarocinski, 2007. "Determinants of Economic Growth: Will Data Tell?," Economics Working Papers 1052, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
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  4. Jane E. Ihrig & Mario Marazzi & Alexander D. Rothenberg, 2006. "Exchange-rate pass-through in the G-7 countries," International Finance Discussion Papers 851, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  5. 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)
  6. Sarah M. Lein-Rupprecht & Miguel A. León-Ledesma & Carolin Nerlich, 2007. "How is real convergence driving nominal convergence in the new EU Member States?," Working Paper Series 827, European Central Bank. [Downloadable!]
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  7. Mehrotra , Aaron & Sánchez-Fung, José R., 2008. "Forecasting Inflation in China," BOFIT Discussion Papers 2/2008, Bank of Finland, Institute for Economies in Transition. [Downloadable!]
  8. David F. Hendry & Hans-Martin Krolzig, 2003. "Sub-sample Model Selection Procedures in Gets Modelling," Economics Papers 2003-W17, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
  9. Luc Bauwens & Genaro Sucarrat, 2008. "General to specific modelling of exchange rate volatility : a forecast evaluation," Economics Working Papers we081810, Universidad Carlos III, Departamento de Economía. [Downloadable!]
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  10. David F. Hendry & Hans-Martin Krolzig, 2004. "We Ran One Regression," Economics Papers 2004-W17, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
  11. 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!]
  12. Paruolo Paolo, 2002. "Testing for common trends in conditional I(2) VAR models," Economics and Quantitative Methods qf0216, Department of Economics, University of Insubria. [Downloadable!]
  13. David F. Hendry & Søren Johansen & Carlos Santos, 2007. "Selecting a Regression Saturated by Indicators," Discussion Papers 07-26, University of Copenhagen. Department of Economics. [Downloadable!]
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  14. 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)
  15. 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!]
  16. Hans-Martin Krolzig, 2003. "General-to-Specific Model Selection Procedures for Structural Vector Autoregressions," Economics Papers 2003-W15, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
  17. Joerg Scheibe & David Vines, 2005. "A Phillips Curve For China," CAMA Working Papers 2005-02, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
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  18. Alan Martina, 2007. "A Class of Poverty Traps: A Theory and Empirical Tests," ANUCBE School of Economics Working Papers 2007-482, Australian National University, College of Business and Economics, School of Economics. [Downloadable!]
  19. Yongfu Huang, 2005. "What determines financial development?," Bristol Economics Discussion Papers 05/580, Department of Economics, University of Bristol, UK. [Downloadable!]
  20. Peter N. Smith & Mike Wickens, 2006. " The New Consensus in Monetary Policy: Is the NKM fit for the purpose of inflation targeting?," CDMA Conference Paper Series 0610, Centre for Dynamic Macroeconomic Analysis. [Downloadable!]
  21. 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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