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Evaluating Automatic Model Selection

  • Jennifer Castle
  • David Hendry
  • Jurgen A. Doornik

We evaluate automatically selecting the relevant variables in an econometric model from a large candidate set. General-to-specific selection is outlined for a constant model in orthogonal variables, where only one decision is required to select, irrespective of the number of regressors (N < T) where T is the sample size, then evaluated in simulation experiments for N = 1000. Comparisons with 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, and evaluate Autometrics' capability in dynamic models by its cost of search versus costs of inference.

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File URL: http://www.economics.ox.ac.uk/materials/papers/4217/paper474.pdf
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Paper provided by University of Oxford, Department of Economics in its series Economics Series Working Papers with number 474.

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Date of creation: 01 Jan 2010
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Handle: RePEc:oxf:wpaper:474
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  8. Leamer, Edward E, 1983. "Let's Take the Con Out of Econometrics," American Economic Review, American Economic Association, vol. 73(1), pages 31-43, March.
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  10. Hans-Martin Krolzig, 2003. "General-to-Specific Model Selection Procedures for Structural Vector Autoregressions," Economics Papers 2003-W15, Economics Group, Nuffield College, University of Oxford.
  11. Halbert White, 2000. "A Reality Check for Data Snooping," Econometrica, Econometric Society, vol. 68(5), pages 1097-1126, September.
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  13. Teodosio Perez-Amaral & Giampiero M. Gallo & Halbert White, 2003. "Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)," Documentos de Trabajo del ICAE 0309, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  14. Castle, Jennifer L. & Hendry, David F., 2010. "A low-dimension portmanteau test for non-linearity," Journal of Econometrics, Elsevier, vol. 158(2), pages 231-245, October.
  15. Lovell, Michael C, 1983. "Data Mining," The Review of Economics and Statistics, MIT Press, vol. 65(1), pages 1-12, February.
  16. 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.
  17. Yancey, Thomas A. & Judge, George G., 1976. "A Monte Carlo comparison of traditional and Stein-rule estimators under squared error loss," Journal of Econometrics, Elsevier, vol. 4(3), pages 285-294, August.
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  22. Jennifer Castle & David Hendry & Jurgen A. Doornik, 2008. "Model Selection when there are Multiple Breaks," Economics Series Working Papers 407, University of Oxford, Department of Economics.
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  27. repec:oxf:wpaper:2003-w15 is not listed on IDEAS
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  30. 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.
  31. Jennifer Castle & David Hendry, 2010. "Automatic Selection for Non-linear Models," Economics Series Working Papers 473, University of Oxford, Department of Economics.
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