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The Properties of Automatic Gets Modelling

  • David Hendry
  • Hans-Martin Krolzig

We examine the properties of automatic model selection, as embodied in PcGets, and evaluate its performance across different (unknown) states of nature. After describing the basic algorithm and some recent changes, we discuss the consistency of its selection procedures, then 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. The conclusion notes how PcGets can handle more variables than observations, and hence how it can tackle non-linear models.

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File URL: http://www.nuff.ox.ac.uk/economics/papers/2003/W14/dfhhmk03a.pdf
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Paper provided by University of Oxford, Department of Economics in its series Economics Series Working Papers with number 2003-W14.

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Date of creation: 01 Mar 2003
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Handle: RePEc:oxf:wpaper:2003-w14
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  1. Savin, N.E., 1984. "Multiple hypothesis testing," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 14, pages 827-879 Elsevier.
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  8. J. David Baldwin & Ronald L. Oaxaca, 2003. "Editors' Introduction," American Economic Review, American Economic Association, vol. 93(2), pages 7-7, May.
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  12. S. Fukuda-Parr, 2003. "Editor's Introduction," Journal of Human Development and Capabilities, Taylor & Francis Journals, vol. 4(3), pages 323-324.
  13. David Hendry & Hans-Martin Krolzig, 2000. "Computer Automation of General-to-Specific Model Selection Procedures," Economics Series Working Papers 3, University of Oxford, Department of Economics.
  14. Hans-Martin Krolzig, 2001. "General--to--Specific Reductions of Vector Autoregressive Processes," Computing in Economics and Finance 2001 164, Society for Computational Economics.
  15. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
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  17. Godfrey, Leslie G, 1978. "Testing for Higher Order Serial Correlation in Regression Equations When the Regressors Include Lagged Dependent Variables," Econometrica, Econometric Society, vol. 46(6), pages 1303-10, November.
  18. Omtzigt Pieter, 2002. "Automatic identification and restriction of the cointegration space," Economics and Quantitative Methods qf0213, Department of Economics, University of Insubria.
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