Consistent Model Selection by an Automatic "Gets" Approach.
<p>We establish the consistency of the selection procedures embodied in <em>PcGets</em>, and compare their performance with other model selection criteria in linear regressions. The significance levels embedded in the <em>PcGets</em> Liberal and Conservative algorithms...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
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Blackwell Publishing Ltd
2003
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| _version_ | 1826283875904520192 |
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| author | Campos, J Hendry, D Krolzig, H |
| author_facet | Campos, J Hendry, D Krolzig, H |
| author_sort | Campos, J |
| collection | OXFORD |
| description | <p>We establish the consistency of the selection procedures embodied in <em>PcGets</em>, and compare their performance with other model selection criteria in linear regressions. The significance levels embedded in the <em>PcGets</em> Liberal and Conservative algorithms coincide in very large samples with those implicit in the Hannan-Quinn (HQ) and Schwarz information criteria (SIC) respectively. Thus, both <em>PcGets</em> rules are consistent under the same conditions as HQ and SIC. However, <em>PcGets</em> has rather different finite-sample behaviour. Pre-selecting to remove many of the candidate variables is confirmed as enhancing the performance of SIC.</p> |
| first_indexed | 2024-03-07T01:05:26Z |
| format | Journal article |
| id | oxford-uuid:8b2af3cd-2b4a-4fc0-b505-09c3d16c370c |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-07T01:05:26Z |
| publishDate | 2003 |
| publisher | Blackwell Publishing Ltd |
| record_format | dspace |
| spelling | oxford-uuid:8b2af3cd-2b4a-4fc0-b505-09c3d16c370c2022-03-26T22:36:22ZConsistent Model Selection by an Automatic "Gets" Approach.Journal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:8b2af3cd-2b4a-4fc0-b505-09c3d16c370cEnglishDepartment of Economics - ePrintsBlackwell Publishing Ltd2003Campos, JHendry, DKrolzig, H<p>We establish the consistency of the selection procedures embodied in <em>PcGets</em>, and compare their performance with other model selection criteria in linear regressions. The significance levels embedded in the <em>PcGets</em> Liberal and Conservative algorithms coincide in very large samples with those implicit in the Hannan-Quinn (HQ) and Schwarz information criteria (SIC) respectively. Thus, both <em>PcGets</em> rules are consistent under the same conditions as HQ and SIC. However, <em>PcGets</em> has rather different finite-sample behaviour. Pre-selecting to remove many of the candidate variables is confirmed as enhancing the performance of SIC.</p> |
| spellingShingle | Campos, J Hendry, D Krolzig, H Consistent Model Selection by an Automatic "Gets" Approach. |
| title | Consistent Model Selection by an Automatic "Gets" Approach. |
| title_full | Consistent Model Selection by an Automatic "Gets" Approach. |
| title_fullStr | Consistent Model Selection by an Automatic "Gets" Approach. |
| title_full_unstemmed | Consistent Model Selection by an Automatic "Gets" Approach. |
| title_short | Consistent Model Selection by an Automatic "Gets" Approach. |
| title_sort | consistent model selection by an automatic gets approach |
| work_keys_str_mv | AT camposj consistentmodelselectionbyanautomaticgetsapproach AT hendryd consistentmodelselectionbyanautomaticgetsapproach AT krolzigh consistentmodelselectionbyanautomaticgetsapproach |