GSREG: Stata module to perform Global Search Regression
Pablo Gluzmann () and
Demian Panigo ()
Statistical Software Components from Boston College Department of Economics
gsreg is an automatic model selection command for time series, cross-section and panel data regressions. By default (otherwise, users have many options to modify this simplest specification), gsreg performs alternative OLS regressions looking for the best depvar Data Generating Process, iterating over all possible combinations among explanatory variables specified in varlist_ocand. Regression results are stored in a .dta file named as gsreg.dta, and saved in the working directory.
Requires: Stata version 11
Keywords: global search; specification search; regression (search for similar items in EconPapers)
Note: This module should be installed from within Stata by typing "ssc install gsreg". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/g/gsreg.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/g/gsreg.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/g/GlobalSearchRegression.pdf documentation (application/pdf)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s457737
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