IDEAS home Printed from https://ideas.repec.org/a/tsj/stataj/v15y2015i2p325-349.html
   My bibliography  Save this article

Global search regression: A new automatic model-selection technique for cross-section, time-series, and panel-data regressions

Author

Listed:
  • Pablo Gluzmann

    () (Argentine National Council of Scientific and Technological Research)

  • Demian Panigo

    () (Argentine National Council of Scientific and Technological Research)

Abstract

In this article, we present gsreg, a new automatic model-selection technique for cross-section, time-series, and panel-data regressions. Like other exhaustive search algorithms (for example, vselect), gsreg avoids characteristic path-dependence traps of standard approaches as well as backward- and forwardlooking approaches (like PcGets or relevant transformation of the inputs network approach). However, gsreg is the first code that 1) guarantees optimality with out-of-sample selection criteria; 2) allows residual testing for each alternative; and 3) provides (depending on user specifications) a full-information dataset with outcome statistics for every alternative model. Copyright 2015 by StataCorp LP.

Suggested Citation

  • Pablo Gluzmann & Demian Panigo, 2015. "Global search regression: A new automatic model-selection technique for cross-section, time-series, and panel-data regressions," Stata Journal, StataCorp LP, vol. 15(2), pages 325-349, June.
  • Handle: RePEc:tsj:stataj:v:15:y:2015:i:2:p:325-349
    Note: to access software from within Stata, net describe http://www.stata-journal.com/software/sj15-2/st0383/
    as

    Download full text from publisher

    File URL: http://www.stata-journal.com/article.html?article=st0383
    File Function: link to article purchase
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Stronzik, Marcus & Zuloaga, Gonzalo, 2020. "Empirische Untersuchung der FTTB/H-Ausbauaktivität im europäischen Vergleich," WIK Discussion Papers 465, WIK Wissenschaftliches Institut für Infrastruktur und Kommunikationsdienste GmbH.
    2. Steinbuks, Jevgenijs, 2019. "Assessing the accuracy of electricity production forecasts in developing countries," International Journal of Forecasting, Elsevier, vol. 35(3), pages 1175-1185.
    3. Gluzmann, Pablo & Guzman, Martin, 2017. "Assessing the robustness of the relationship between financial reforms and banking crises," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 49(C), pages 32-47.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tsj:stataj:v:15:y:2015:i:2:p:325-349. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum) or (Lisa Gilmore). General contact details of provider: http://www.stata-journal.com/ .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.