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The Properties of Automatic Gets Modelling

Author

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  • Hendry, David F

    (University of Oxford)

  • Hans-Martin Krolzig

Abstract

We describe some recent developments in PcGets, and consider their impact on its performance across different (unknown) states of nature. We discuss the consistency of its selection procedures, and examine the extent to which model selection is non-distortionary at relevant sample sizes. The problems posed in judging performance on collinear data are noted. We also describe how PcGets has been extended to assist non-experts in model formulation, handle more variables than observations, and tackle non-linear models.

Suggested Citation

  • Hendry, David F & Hans-Martin Krolzig, 2003. "The Properties of Automatic Gets Modelling," Royal Economic Society Annual Conference 2003 105, Royal Economic Society.
  • Handle: RePEc:ecj:ac2003:105
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    More about this item

    Keywords

    Model selection; econometric methodology; PcGets; selection consistency; Monte Carlo;

    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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