Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Hendry, David F. | - |
dc.contributor.author | Krolzig, Martin | - |
dc.date.accessioned | 2008-05-29T13:26:14Z | - |
dc.date.available | 2008-05-29T13:26:14Z | - |
dc.date.issued | 2004-10-08 | - |
dc.identifier.uri | http://hdl.handle.net/2451/26938 | - |
dc.description.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. | en |
dc.language.iso | en_US | en |
dc.relation.ispartofseries | SC-CFE-05-03 | en |
dc.subject | Econometric methodology | en |
dc.subject | model selection | en |
dc.subject | general-to-specific | en |
dc.subject | automatic | en |
dc.title | The Properties of Automatic Gets Modelling | en |
dc.type | Working Paper | en |
Appears in Collections: | Financial Econometrics |
Files in This Item:
File | Description | Size | Format | |
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CFE-05-03.pdf | 524.55 kB | Adobe PDF | View/Open |
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