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We Ran One Regression

Author Info

  • 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.

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Article provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics.

Volume (Year): 66 (2004)
Issue (Month): 5 (December)
Pages: 799-810

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Handle: RePEc:bla:obuest:v:66:y:2004:i:5:p:799-810
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  1. David Hendry & Hans-Martin Krolzig, 2003. "The Properties of Automatic Gets Modelling," Economics Series Working Papers 2003-W14, University of Oxford, Department of Economics.
  2. Kevin Hoover & Harris Dellas, 2003. "Truth and Robustness in Cross-country Growth Regressions," Working Papers 11, University of California, Davis, Department of Economics.
  3. Carmen Fernandez & Eduardo Ley & Mark Steel, 1999. "Model uncertainty in cross-country growth regressions," Econometrics 9903003, EconWPA, revised 06 Oct 2001.
  4. Teodosio Perez-Amaral & Giampiero M. Gallo & Halbert White, 2003. "Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)," Documentos de Trabajo del ICAE 0309, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  5. Jerzy Mycielski & Michal Kurcewicz, 2004. "A Specification Search Algorithm for Cointegrated Systems," Computing in Economics and Finance 2004 321, Society for Computational Economics.
  6. Temple, Jonathan, 2000. "Growth Regressions and What the Textbooks Don't Tell You," Bulletin of Economic Research, Wiley Blackwell, vol. 52(3), pages 181-205, July.
  7. Levine, Ross & Renelt, David, 1991. "A sensitivity analysis of cross-country growth regressions," Policy Research Working Paper Series 609, The World Bank.
  8. Kevin D. Hoover & Stephen J. Perez, . "Data Mining Reconsidered: Encompassing And The General-To-Specific Approach To Specification Search," Department of Economics 97-27, California Davis - Department of Economics.
  9. Peter C.B. Phillips, 1995. "Automated Forecasts of Asia-Pacific Economic Activity," Cowles Foundation Discussion Papers 1103, Cowles Foundation for Research in Economics, Yale University.
  10. 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.
  11. Halbert White, 2000. "A Reality Check for Data Snooping," Econometrica, Econometric Society, vol. 68(5), pages 1097-1126, September.
  12. 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.
  13. Hendry, David F., 1995. "Dynamic Econometrics," OUP Catalogue, Oxford University Press, number 9780198283164.
  14. Phillips, Peter C B, 1996. "Econometric Model Determination," Econometrica, Econometric Society, vol. 64(4), pages 763-812, July.
  15. McAleer, Michael & Pagan, Adrian R & Volker, Paul A, 1985. "What Will Take the Con out of Econometrics?," American Economic Review, American Economic Association, vol. 75(3), pages 293-307, June.
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