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We Ran One Regression

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Author Info
David F. Hendry () (Department of Economics, University of Oxford)
Hans-Martin Krolzig (Department of Economics, University of Oxford)
Abstract

The recent controversy over model selection in the context of `growth regressions' has led to some remarkably numerous `estimation' strategies, including 4 million regressions by Sala-i-Martin (1997b). Only one regression is really needed, namely the general unrestricted model, appropriately reduced to a parsimonious encompassing congruent representation. Such an outcome was achieved in one run on PcGets, within 15 minutes of receiving from Professor Ley the data set in Fernández et al (2001). We reproduce that equation, and corroborate the findings in Hoover and Perez (2004), who also adopt an automatic general-to-simple approach.

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File URL: http://www.nuff.ox.ac.uk/economics/papers/2004/w17/OneReg.pdf
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Paper provided by Economics Group, Nuffield College, University of Oxford in its series Economics Papers with number 2004-W17.

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Length: 9 pages
Date of creation: 10 Mar 2004
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Handle: RePEc:nuf:econwp:0417

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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. Hendry, David F & Hans-Martin Krolzig, 2003. "The Properties of Automatic Gets Modelling," Royal Economic Society Annual Conference 2003 105, Royal Economic Society. [Downloadable!]
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  2. Carmen Fernandez & Eduardo Ley & Mark Steel, 1999. "Model uncertainty in cross-country growth regressions," Econometrics 9903003, EconWPA, revised 06 Oct 2001. [Downloadable!]
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  3. Halbert White, 2000. "A Reality Check for Data Snooping," Econometrica, Econometric Society, vol. 68(5), pages 1097-1126, September.
  4. Phillips, Peter C B, 1996. "Econometric Model Determination," Econometrica, Econometric Society, vol. 64(4), pages 763-812, July. [Downloadable!] (restricted)
  5. Leamer, Edward E & Leonard, Herman B, 1983. "Reporting the Fragility of Regression Estimates," The Review of Economics and Statistics, MIT Press, vol. 65(2), pages 306-17, May. [Downloadable!] (restricted)
  6. Kevin D. Hoover & Stephen J. Perez, 2004. "Truth and Robustness in Cross-country Growth Regressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(5), pages 765-798, December. [Downloadable!] (restricted)
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  7. Levine, Ross & Renelt, David, 1992. "A Sensitivity Analysis of Cross-Country Growth Regressions," American Economic Review, American Economic Association, vol. 82(4), pages 942-63, September. [Downloadable!] (restricted)
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  8. Peter C.B. Phillips, 1995. "Automated Forecasts of Asia-Pacific Economic Activity," Cowles Foundation Discussion Papers 1103, Cowles Foundation, Yale University. [Downloadable!]
  9. Julia Campos & David F. Hendry & Hans-Martin Krolzig, 2003. "Consistent Model Selection by an Automatic "Gets" Approach," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 803-819, December. [Downloadable!] (restricted)
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