The Properties of Automatic Gets Modelling.
We describe some recent developments in PcGets, and consider their impact on its performance across different (unknown) states of nature. We discuss the consistency of its selection procedures, and examine the extent to which model selection is non-distortionary at relevant sample sizes. The problem...
| Main Authors: | , |
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| Format: | Conference item |
| Language: | English |
| Published: |
Royal Economic Society
2003
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