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-Nuffield College

Martin Krolzig

affiliation not provided to SSRN

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-Nuffield College ( email )

1 New Road
Oxford, OX1 1nf
United Kingdom
+44 1865 278544 (Phone)
+44 1865 278557 (Fax)

HOME PAGE: http://https://www.nuffield.ox.ac.uk/

Martin Krolzig

affiliation not provided to SSRN

No Address Available

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
76
Abstract Views
2,263
Rank
567,594
PlumX Metrics