Evaluating Automatic Model Selection.
We evaluate automatically selecting the relevant variables in an econometric model from a large candidate set. General-to-specific selection is outlined for a constant model in orthogonal variables, where only one decision is required to select, irrespective of the number of regressors (N <...
| Autori principali: | , , |
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| Natura: | Working paper |
| Lingua: | English |
| Pubblicazione: |
Department of Economics (University of Oxford)
2010
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