The Properties of Automatic Gets Modelling.

After reviewing the simulation performance of general-to-specific automatic regression-model selection, as embodied in PcGets, we show how model selection can be non-distortionary: approximately unbiased "selection estimates" are derived, with reported standard errors close to the sampling...

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Détails bibliographiques
Auteurs principaux: Hendry, D, Krolzig, H
Format: Journal article
Langue:English
Publié: Blackwell Publishing 2005