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 &...
| Main Authors: | , , |
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| Formato: | Working paper |
| Publicado em: |
University of Oxford
2010
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