30 Pages Posted: 7 Mar 2005
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 priori restrictions.
Suggested Citation: Suggested Citation
Hendry, David F. and Krolzig, Hans-Martin, The Properties of Automatic GETS Modelling. Economic Journal, Vol. 115, No. 502, pp. C32-C61, March 2005. Available at SSRN: https://ssrn.com/abstract=678423
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