Computer Automation of General-to-Specific Model Selection Procedures

David Hendry and Hans-Martin Krolzig

No 3, Economics Series Working Papers from University of Oxford, Department of Economics

Abstract: Disputes about econometric methodology partly reflect a lack of evidence on alternative approaches. We reconsider econometric model selection from a computer-automation perspective, focusing on general-to-specific reductions, embodied in PcGets. Starting from a general congruent model, standard testing procedures eliminate statistically-insignificant variables, with diagnostic tests checking the validity of reductions, ensuring a congruent final selection. Since jointly selecting and diagnostic testing has eluded theoretical analysis, we study modelling strategies by simulation. The Monte Carlo experiments show that PcGets recovers the DGP specification from a general model with size and power close to commencing from the DGP itself.

Keywords: econometric methodology; model selection; encompassing; data mining; Monte Carlo experiments; money demand; consumption function (search for similar items in EconPapers)
JEL-codes: C22 C51 (search for similar items in EconPapers)
Date: 2000-03-01
References: Add references at CitEc
Citations: View citations in EconPapers (12)

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Related works:
Journal Article: Computer automation of general-to-specific model selection procedures (2001)
Working Paper: Computer Automation of General-to-Specific Model Selection Procedures (2000)
Working Paper: Computer Automation of General-to-Specific Model Selection Procedures (1999)
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