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Reference: Jennifer L. Castle, Jurgen A. Doornik and David F. Hendry, (2010). Evaluating Automatic Model Selection. Department of Economics (University of Oxford).Citable link to this page:


Evaluating Automatic Model Selection. Series: Discussion paper series

Abstract: We evaluate automatically selecting the relevant variables in an econometric model from a large candidate set. General-to-specific selection is outlined for a constant model in orthogonal variables, where only one decision is required to select, irrespective of the number of regressors (N < T) where T is the sample size, then evaluated in simulation experiments for N = 1000. Comparisons with Autometrics (Doornik, 2009) show similar properties, but not restricted to orthogonal cases. Monte Carlo experiments examine the roles of post-selection bias corrections and diagnostic testing, and evaluate Autometrics’ capability in dynamic models by its cost of search versus costs of inference.

Bibliographic Details

Issue Date: 2010Identifiers

Urn: uuid:140380b5-2eee-43c7-97eb-2a73df14ebc9 Item Description

Type: info:eu-repo/semantics/workingPaper;

Language: en


Author: Jennifer L. Castle - - - Jurgen A. Doornik - - - David F. Hendry - - - - Bibliographic Details Issue Date: 2010 - Identifiers Urn

Source: https://ora.ox.ac.uk/objects/uuid:140380b5-2eee-43c7-97eb-2a73df14ebc9


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