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We Ran One Regression

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  • David F. Hendry
  • Hans-Martin Krolzig

Abstract

The controversy over the selection of 'growth regressions' was precipitated by some remarkably numerous 'estimation' strategies, including two million regressions by Sala-i-Martin ["American Economic Review" (1997b) Vol. 87, pp. 178-183]. Only one regression is really needed, namely the general unrestricted model, appropriately reduced to a parsimonious encompassing, congruent representation. We corroborate the findings of Hoover and Perez ["Oxford Bulletin of Economics and Statistics" (2004) Vol. 66], who also adopt an automatic general-to-simple approach, despite the complications of data imputation. Such an outcome was also achieved in just one run of "PcGets", within a few minutes of receiving the data set in Fernández, Ley and Steel ["Journal of Applied Econometrics" (2001) Vol. 16, pp. 563-576] from Professor Ley. Copyright 2004 Blackwell Publishing Ltd.

Suggested Citation

  • David F. Hendry & Hans-Martin Krolzig, 2004. "We Ran One Regression," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(5), pages 799-810, December.
  • Handle: RePEc:bla:obuest:v:66:y:2004:i:5:p:799-810
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    1. Carmen Fernandez & Eduardo Ley & Mark F. J. Steel, 2001. "Model uncertainty in cross-country growth regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(5), pages 563-576.
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    15. Jerzy Mycielski & Michal Kurcewicz, 2004. "A Specification Search Algorithm for Cointegrated Systems," Computing in Economics and Finance 2004 321, Society for Computational Economics.
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