I just ran two trillion regressions

Christoph Hanck ()
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Christoph Hanck: Universität Duisburg-Essen

Economics Bulletin, 2016, vol. 36, issue 4, 2037-2042

Abstract: The computational effort required to conduct a full model search to identify the most useful specification in problems that feature a large set of potential explanatory variables is widely perceived to be large. To circumvent or mitigate this challenge, the literature has proposed a host of techniques, many of which are not easy to implement. Using the example of a standard cross-country growth regression data set, we demonstrate that the computational effort in conducting a full model search will often be negligible. We provide an assessment of how this finding generalizes to model spaces of different sizes.

Keywords: Variable selection; growth regressions; branch and bound; best subset selection (search for similar items in EconPapers)
JEL-codes: C1 O4 (search for similar items in EconPapers)
Date: 2016-11-09
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Citations: View citations in EconPapers (4)

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