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We Ran One Regression

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Listed author(s):
  • 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. 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.
  2. Kevin D. Hoover & Stephen J. Perez, 1999. "Data mining reconsidered: encompassing and the general-to-specific approach to specification search," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 167-191.
  3. J. R. Hicks, 1940. "A Comment," Review of Economic Studies, Oxford University Press, vol. 8(1), pages 64-65.
  4. Teodosio Perez-Amaral & Giampiero M. Gallo & Halbert White, 2003. "A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 821-838, December.
  5. 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.
  6. Phillips, Peter C B, 1996. "Econometric Model Determination," Econometrica, Econometric Society, vol. 64(4), pages 763-812, July.
  7. David F. Hendry & Hans-Martin Krolzig, 2005. "The Properties of Automatic "GETS" Modelling," Economic Journal, Royal Economic Society, vol. 115(502), pages 32-61, 03.
  8. 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.
  9. Levine, Ross & Renelt, David, 1992. "A Sensitivity Analysis of Cross-Country Growth Regressions," American Economic Review, American Economic Association, vol. 82(4), pages 942-963, September.
  10. 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.
  11. Halbert White, 2000. "A Reality Check for Data Snooping," Econometrica, Econometric Society, vol. 68(5), pages 1097-1126, September.
  12. 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 306-317, May.
  13. Hendry, David F., 1995. "Dynamic Econometrics," OUP Catalogue, Oxford University Press, number 9780198283164.
  14. 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.
  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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