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 <...
| Hauptverfasser: | , , |
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| Format: | Working paper |
| Sprache: | English |
| Veröffentlicht: |
Department of Economics (University of Oxford)
2010
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