The DOI matches its Crossref record; 40 of the 40 references it cites were found in a registry or an index.
The Properties of Automatic Gets Modelling
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.
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Cites
Estimating the Dimension of a Model
Schwarz, G. (1978) · The Annals of Statistics · doi:10.1214/aos/1176344136 · Cited by 47,033
A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity
White, H. (1980) · Econometrica · doi:10.2307/1912934 · Cited by 25,861
Information Theory and an Extension of the Maximum Likelihood Principle
Akaike, H. (1998) · Springer Series in Statistics · doi:10.1007/978-1-4612-1694-0_15 · Cited by 17,781
A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix
Newey, W., & West, K. (1986) · National Bureau of Economic Research · doi:10.3386/t0055 · Cited by 12,278
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Continuous Univariate Distributions.
Omori, Y., Johnson, N. L., Kotz, S., & Balakrishnan, N. (1995) · Journal of the American Statistical Association · doi:10.2307/2291547 · Cited by 9,084
The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
Breusch, T. S., & Pagan, A. R. (1980) · The Review of Economic Studies · doi:10.2307/2297111 · Cited by 8,982
Instrumental Variables Regression with Weak Instruments
Staiger, D., & Stock, J. H. (1997) · Econometrica · doi:10.2307/2171753 · Cited by 7,081
Estimation and Inference in Econometrics.
Chambers, M. J., Davidson, R., & MacKinnon, J. G. (1994) · The Economic Journal · doi:10.2307/2234656 · Cited by 5,413
Instrumental Variables Regression with Weak Instruments
Staiger, D., & Stock, J. (1994) · doi:10.3386/t0151 · Cited by 5,302 · cited 2×
“PcGets can also be used to select the relevant instrumental variables and check for the problem of weak instruments (Hall et al., 1996; Staiger and Stock, 1997; Mavroeidis, 2004).”
Cited by
Model Averaging and Its Use in Economics
Steel, M. F. J. (2020) · Journal of Economic Literature · doi:10.1257/jel.20191385 · Cited by 321
Metadata
- Authors
- Hendry, D. F., & Krolzig, H.
- Venue
- The Economic Journal
- Publisher
- Oxford University Press (OUP)
- Published
- 2005-03-01
- Volume
- 115
- Issue
- 502
- Pages
- C32-C61
- ISSN
- 0013-0133 (ISSN-L)
- 1468-0297
- OpenAlex
- W3021526567
- Cited by
- 322
- References
- 40
- FWCI
- 19.66
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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