Computer automation of general-to-specific model selection procedures
AbstractThat econometric methodology remains in dispute partly reflects the lack of clear evidence on alternative approaches. This paper reconsiders econometric model selection from a computer-automation perspective, focusing on general-to-specific reduction approaches, as embodied in the program PcGets (general-to-specific). Starting from a general linear, dynamic statistical model, which captures the essential data characteristics, standard testing procedures are applied to eliminate statistically-insignificant variables, using diagnostic tests to check the validity of the reductions, ensuring a congruent final model. As the joint issue of variable selection and diagnostic testing eludes most attempts at theoretical analysis, a simulation-based analysis of modelling strategies is presented. The results of the Monte Carlo experiments cohere with the established theory: PcGets recovers the DGP specification with remarkable accuracy. Empirical size and power of PcGets are close to what one would expect if the DGP were known.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Economic Dynamics and Control.
Volume (Year): 25 (2001)
Issue (Month): 6-7 (June)
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Web page: http://www.elsevier.com/locate/jedc
Other versions of this item:
- Hans-Martin Krolzig, 2000. "Computer Automation of General-to-Specific Model Selection Procedures," Econometric Society World Congress 2000 Contributed Papers 0411, Econometric Society.
- Hans-Martin Krolzig & David Hendry, 1999. "Computer Automation of General-to-Specific Model Selection Procedures," Computing in Economics and Finance 1999 314, Society for Computational Economics.
- David Hendry & Hans-Martin Krolzig, 2000. "Computer Automation of General-to-Specific Model Selection Procedures," Economics Series Working Papers 3, University of Oxford, Department of Economics.
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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