Automatic Econometric Model Selection using PcGets.
Model selection is ubiquitous as we simply do not know the underlying data generating process. However, substantial criticisms are targeted at many model selection procedures. All of these criticisms can be refuted by an automatic model selection algorithms called PcGets. These algorithm is an Ox Pa...
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| Format: | Journal article |
| Language: | English |
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Erasmus University Rotterdam
2006
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