Computer Automation of General-to-Specific Model Selection Procedures.
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 test...
| Автори: | , |
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| Формат: | Journal article |
| Мова: | English |
| Опубліковано: |
Elsevier
2001
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| _version_ | 1826259147720491008 |
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| author | Krolzig, H Hendry, D |
| author_facet | Krolzig, H Hendry, D |
| author_sort | Krolzig, H |
| collection | OXFORD |
| description | 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. |
| first_indexed | 2024-03-06T18:45:16Z |
| format | Journal article |
| id | oxford-uuid:0e4956c1-5ea2-421e-9bb7-5ee316978b2c |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-06T18:45:16Z |
| publishDate | 2001 |
| publisher | Elsevier |
| record_format | dspace |
| spelling | oxford-uuid:0e4956c1-5ea2-421e-9bb7-5ee316978b2c2022-03-26T09:45:11ZComputer Automation of General-to-Specific Model Selection Procedures.Journal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:0e4956c1-5ea2-421e-9bb7-5ee316978b2cEnglishDepartment of Economics - ePrintsElsevier2001Krolzig, HHendry, DDisputes 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. |
| spellingShingle | Krolzig, H Hendry, D Computer Automation of General-to-Specific Model Selection Procedures. |
| title | Computer Automation of General-to-Specific Model Selection Procedures. |
| title_full | Computer Automation of General-to-Specific Model Selection Procedures. |
| title_fullStr | Computer Automation of General-to-Specific Model Selection Procedures. |
| title_full_unstemmed | Computer Automation of General-to-Specific Model Selection Procedures. |
| title_short | Computer Automation of General-to-Specific Model Selection Procedures. |
| title_sort | computer automation of general to specific model selection procedures |
| work_keys_str_mv | AT krolzigh computerautomationofgeneraltospecificmodelselectionprocedures AT hendryd computerautomationofgeneraltospecificmodelselectionprocedures |