The Properties of Automatic Gets Modelling

David F. Hendry () and Hans-Martin Krolzig ()

No 105, Royal Economic Society Annual Conference 2003 from Royal Economic Society

Abstract: We describe some recent developments in PcGets, and consider their impact on its performance across different (unknown) states of nature. We discuss the consistency of its selection procedures, and 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. We also describe how PcGets has been extended to assist non-experts in model formulation, handle more variables than observations, and tackle non-linear models.

Keywords: Model selection; econometric methodology; PcGets; selection consistency; Monte Carlo (search for similar items in EconPapers)
JEL-codes: C51 C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cmp
Date: 2003-06-04
View citations in EconPapers

Downloads: (external link)
http://repec.org/res2003/Hendry.pdf full text

Related works:
Working Paper: The Properties of Automatic Gets Modelling (2003)
Journal Article: The Properties of Automatic "GETS" Modelling (2005)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:ecj:ac2003:105

Access Statistics for this paper

More papers in Royal Economic Society Annual Conference 2003 from Royal Economic Society
Contact information at EDIRC.
Series data maintained by Christopher F. Baum ().