Computer automation of general-to-specific model selection procedures
Disputes about econometric methodology partly reflect a lack of evidence on alternative approaches. We reconsider econometric model selection from a computer-automation perspective, focusing on general-to-specific reductions, embodied in PcGets. Starting from a general congruent model, standard test...
| Main Authors: | , |
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| Format: | Working paper |
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University of Oxford
2000
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| _version_ | 1797063314293915648 |
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| author | Hendry, D Krolzig, H |
| author_facet | Hendry, D Krolzig, H |
| author_sort | Hendry, D |
| collection | OXFORD |
| description | Disputes about econometric methodology partly reflect a lack of evidence on alternative approaches. We reconsider econometric model selection from a computer-automation perspective, focusing on general-to-specific reductions, embodied in PcGets. Starting from a general congruent model, standard testing procedures eliminate statistically-insignificant variables, with diagnostic tests checking the validity of reductions, ensuring a congruent final selection. Since jointly selecting and diagnostic testing has eluded theoretical analysis, we study modelling strategies by simulation. The Monte Carlo experiments show that PcGets recovers the DGP specification from a general model with size and power close to commencing from the DGP itself. |
| first_indexed | 2024-03-06T20:58:03Z |
| format | Working paper |
| id | oxford-uuid:39ef86d1-a89f-482e-b119-fb1768ba88fc |
| institution | University of Oxford |
| last_indexed | 2024-03-06T20:58:03Z |
| publishDate | 2000 |
| publisher | University of Oxford |
| record_format | dspace |
| spelling | oxford-uuid:39ef86d1-a89f-482e-b119-fb1768ba88fc2022-03-26T13:58:30ZComputer automation of general-to-specific model selection proceduresWorking paperhttp://purl.org/coar/resource_type/c_8042uuid:39ef86d1-a89f-482e-b119-fb1768ba88fcBulk import via SwordSymplectic ElementsUniversity of Oxford2000Hendry, DKrolzig, HDisputes about econometric methodology partly reflect a lack of evidence on alternative approaches. We reconsider econometric model selection from a computer-automation perspective, focusing on general-to-specific reductions, embodied in PcGets. Starting from a general congruent model, standard testing procedures eliminate statistically-insignificant variables, with diagnostic tests checking the validity of reductions, ensuring a congruent final selection. Since jointly selecting and diagnostic testing has eluded theoretical analysis, we study modelling strategies by simulation. The Monte Carlo experiments show that PcGets recovers the DGP specification from a general model with size and power close to commencing from the DGP itself. |
| spellingShingle | Hendry, D Krolzig, H Computer automation of general-to-specific model selection procedures |
| title | Computer automation of general-to-specific model selection procedures |
| title_full | Computer automation of general-to-specific model selection procedures |
| title_fullStr | Computer automation of general-to-specific model selection procedures |
| title_full_unstemmed | Computer automation of general-to-specific model selection procedures |
| title_short | Computer automation of general-to-specific model selection procedures |
| title_sort | computer automation of general to specific model selection procedures |
| work_keys_str_mv | AT hendryd computerautomationofgeneraltospecificmodelselectionprocedures AT krolzigh computerautomationofgeneraltospecificmodelselectionprocedures |