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Evaluating Automatic Model Selection

Author

Listed:
  • Castle Jennifer L.

    (University of Oxford)

  • Doornik Jurgen A

    (University of Oxford)

  • Hendry David F.

    (University of Oxford)

Abstract

We outline a range of criteria for evaluating model selection approaches that have been used in the literature. Focusing on three key criteria, we evaluate automatically selecting the relevant variables in an econometric model from a large candidate set. General-to-specific selection is outlined for a regression model in orthogonal variables, where only one decision is required to select, irrespective of the number of regressors. Comparisons with an automated model selection algorithm, Autometrics (Doornik, 2009), show similar properties, but not restricted to orthogonal cases. Monte Carlo experiments examine the roles of post-selection bias corrections and diagnostic testing as well as evaluate selection in dynamic models by costs of search versus costs of inference.

Suggested Citation

  • Castle Jennifer L. & Doornik Jurgen A & Hendry David F., 2011. "Evaluating Automatic Model Selection," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-33, February.
  • Handle: RePEc:bpj:jtsmet:v:3:y:2011:i:1:n:8
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    References listed on IDEAS

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    More about this item

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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