The Properties of Automatic Gets Modelling
David Hendry () and
Hans-Martin Krolzig ()
No 105, Royal Economic Society Annual Conference 2003 from Royal Economic Society
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)
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Journal Article: The Properties of Automatic "GETS" Modelling (2005)
Working Paper: The Properties of Automatic Gets Modelling (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:ecj:ac2003:105
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