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 &...

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Podrobná bibliografie
Hlavní autoři: Castle, J, Hendry, D, Doornik, J
Médium: Working paper
Vydáno: University of Oxford 2010