The Properties of Automatic Gets Modelling.
|Abstract||We examine the properties of automatic model selection, as embodied in PcGets, and evaluate its performance across different (unknown) states of nature. After describing the basic algorithm and some recent changes, we discuss the consistency of its selection procedures, then examine the extent to which model selection is non-distortionary at relevant sample sizes. The problems posed in judging performance on collinear data are noted. The conclusi ... [truncated at 450 characters in length]|
|Creator||David F. Hendry; Hans-Martin Krolzig;|