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 standard...
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| Format: | Journal article |
| Language: | English |
| Published: |
Blackwell Publishing
2005
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