The Properties of Automatic Gets Modelling

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

No 2003-W14, Economics Papers from Economics Group, Nuffield College, University of Oxford

Abstract: We examine the properties of automatic model selection, as embodied in PcGets, and evaluate its performance across different (unknown) states of nature. After describing the basic algorithm and some recent changes, we discuss the consistency of its selection procedures, then 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. The conclusion notes how PcGets can handle more variables than observations, and hence how it can tackle non-linear models.

New Economics Papers: this item is included in nep-cmp and nep-ecm
Date: 2003-03-01
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Related works:
Working Paper: The Properties of Automatic Gets Modelling (2003)
Journal Article: The Properties of Automatic "GETS" Modelling (2005)
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Persistent link: http://EconPapers.repec.org/RePEc:nuf:econwp:0314

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