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The Properties of Automatic Gets Modelling Author info | Abstract | Publisher info | Download info | Related research | Statistics David Hendry () (Dept of Economics and Nuffield College, Oxford University)
Hans-Martin Krolzig () (Department of Economics, and Nuffield College, Oxford University)
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We examine the properties of automatic model selection, as embodied in PcGets, and evaluate its performance across different (unknown) states of nature. After describing the basic algorithm and some recent changes, we discuss the consistency of its selection procedures, then 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. The conclusion notes how PcGets can handle more variables than observations, and hence how it can tackle non-linear models.
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Paper provided by Economics Group, Nuffield College, University of Oxford in its series Economics Papers with number
2003-W14.
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Length: 21 pages
Date of creation: 01 Mar 2003Date of revision:
Handle: RePEc:nuf:econwp:0314Contact details of provider: Web page: http://www.nuff.ox.ac.uk/economics/
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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.: Krolzig, Hans-Martin & Hendry, David F., 2001.
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