Consistent Model Selection by an Automatic Gets Approach*

Julia Campos, David Hendry and Hans-Martin Krolzig

Oxford Bulletin of Economics and Statistics, 2003, vol. 65, issue s1, 803-819

Abstract: We establish the consistency of the selection procedures embodied in PcGets, and compare their performance with other model selection criteria in linear regressions. The significance levels embedded in the PcGets Liberal and Conservative algorithms coincide in very large samples with those implicit in the Hannan–Quinn (HQ) and Schwarz information criteria (SIC), respectively. Thus, both PcGets rules are consistent under the same conditions as HQ and SIC. However, PcGets has a rather different finite‐sample behaviour. Pre‐selecting to remove many of the candidate variables is confirmed as enhancing the performance of SIC.

Date: 2003
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