The Properties of Automatic Gets Modelling

35 Pages Posted: 7 Nov 2008

See all articles by David F. Hendry

David F. Hendry

University of Oxford - Department of Economics

Martin Krolzig

affiliation not provided to SSRN

Multiple version iconThere are 2 versions of this paper

Date Written: October 2004

Abstract

After reviewing the simulation performance of general-to-specific automatic regression model selection, as embodied in PcGets, we show how model selection can be non-distortionary: approximately unbiased selection estimates are derived, with reported standard errors close to the sampling standard deviations of the estimated DGP parameters, and a near-unbiased goodness-of-fit measure. The handling of theory-based restrictions, non-stationarity, and problems posed by collinear data are considered. Finally, we consider how PcGets can handle three intractable problems: more variables than observations in regression analysis; perfectly collinear regressors; and modelling simultaneous equations without a priori restrictions.

Keywords: Econometric methodology, model selection, general-to-specific, automatic

Suggested Citation

Hendry, David F. and Krolzig, Martin, The Properties of Automatic Gets Modelling (October 2004). NYU Working Paper No. SC-CFE-05-03. Available at SSRN: https://ssrn.com/abstract=1297093

David F. Hendry (Contact Author)

University of Oxford - Department of Economics ( email )

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Oxford, OX1 3BJ
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+44 1865 278544 (Phone)
+44 1865 278557 (Fax)

Martin Krolzig

affiliation not provided to SSRN

No Address Available

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