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 <...
| Päätekijät: | , , |
|---|---|
| Aineistotyyppi: | Working paper |
| Kieli: | English |
| Julkaistu: |
Department of Economics (University of Oxford)
2010
|