The Properties of Automatic GETS Modelling  

Oleh:

Hendry, David F. ; Krolzig, Hans-Martin

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Economic Journal (EBSCO) vol. 115 no. 502 (Mar. 2005), page C32-C61.
Topik: automatic; automatic; GETS modelling
Fulltext: C32.pdf (631.1KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: EE28.17 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

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.

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