|
Archive@NYU >
Stern School of Business >
Salomon Center >
Financial Econometrics >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/26938
|
| Title: | The Properties of Automatic Gets Modelling |
| Authors: | Hendry, David F.
Krolzig, Martin |
| Keywords: | Econometric methodology
model selection
general-to-specific
automatic |
| Issue Date: | 8-Oct-2004 |
| Series/Report no.: | SC-CFE-05-03 |
| Abstract: | 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 deviations of the estimated DGP
parameters, and a near-unbiased goodness-of-fit measure. The handling of
theory-based restrictions, non-stationarity, and problems posed by
collinear data are considered. Finally, we consider how PcGets can
handle three ‘intractable’ problems: more variables than
observations in regression analysis; perfectly collinear regressors; and
modelling simultaneous equations without a priori restrictions. |
| URI: | http://hdl.handle.net/2451/26938 |
| Appears in Collections: | Financial Econometrics
|
All items in Faculty Digital Archive are protected by copyright, with all rights reserved.
|
