Consistent Model Selection by an Automatic Gets Approach*

B-Tier
Journal: Oxford Bulletin of Economics and Statistics
Year: 2003
Volume: 65
Issue: s1
Pages: 803-819

Score contribution per author:

0.670 = (α=2.01 / 3 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We establish the consistency of the selection procedures embodied in PcGets, and compare their performance with other model selection criteria in linear regressions. The significance levels embedded in the PcGets Liberal and Conservative algorithms coincide in very large samples with those implicit in the Hannan–Quinn (HQ) and Schwarz information criteria (SIC), respectively. Thus, both PcGets rules are consistent under the same conditions as HQ and SIC. However, PcGets has a rather different finite‐sample behaviour. Pre‐selecting to remove many of the candidate variables is confirmed as enhancing the performance of SIC.

Technical Details

RePEc Handle
repec:bla:obuest:v:65:y:2003:i:s1:p:803-819
Journal Field
General
Author Count
3
Added to Database
2026-01-25