Template-type: ReDIF-Paper 1.0 Author-Name: David Hendry Author-Email: david.hendry@nuffield.ox.ac.uk Author-Workplace-Name: Dept of Economics and Nuffield College, Oxford University Author-Name: Hans-Martin Krolzig Author-Email: hans-martin.krolzig@nuf.ox.ac.uk Author-Workplace-Name: Department of Economics, and Nuffield College, Oxford University Title: 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 conclusion notes how PcGets can handle more variables than observations, and hence how it can tackle non-linear models. Length:21 pages Creation-Date: 2003-03-01 Number:2003-W14 File-URL: http://www.nuff.ox.ac.uk/economics/papers/2003/W14/dfhhmk03a.pdf File-Format: application/pdf Handle: RePEc:nuf:econwp:0314