Evaluating Automatic Model Selection.

Evaluating Automatic Model Selection.

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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 <...

书目详细资料
Main Authors:	Castle, J, Doornik, J, Hendry, D
格式:	Working paper
语言:	English
出版:	Department of Economics (University of Oxford) 2010

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