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The Properties of Automatic Gets Modelling

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Author Info
Hendry, David F (University of Oxford)
Hans-Martin Krolzig

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Abstract

We describe some recent developments in PcGets, and consider their impact on its performance across different (unknown) states of nature. We discuss the consistency of its selection procedures, and examine the extent to which model selection is non-distortionary at relevant sample sizes. The problems posed in judging performance on collinear data are noted. We also describe how PcGets has been extended to assist non-experts in model formulation, handle more variables than observations, and tackle non-linear models.

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Paper provided by Royal Economic Society in its series Royal Economic Society Annual Conference 2003 with number 105.

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Date of creation: 04 Jun 2003
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Handle: RePEc:ecj:ac2003:105

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Related research
Keywords: Model selection; econometric methodology; PcGets; selection consistency; Monte Carlo;

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Find related papers by JEL classification:
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

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    Other versions:
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