Template-type: ReDIF-Paper 1.0
Author-Name: David F. 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: Sub-sample Model Selection Procedures in Gets Modelling
Abstract:
  When the DGP is nested in the model, PcGets delivers high performance selection
  across different (unknown) states of nature. One of its steps involves sub-sample 
  post-selection assessment, and here we consider its properties and investigate its 
  practical application. The simulation results show that conditional on retaining a 
  variable, sub-sample information cannot discriminate between substantive and adventitious 
  significance. The Monte Carlo experiments also reveal that the sub-sample selection method 
  suggested by Hoover and Perez (1999) is dominated by procedures selecting only on full-sample 
  evidence, when both approaches are evaluated at a given size. Nevertheless, although the 
  sub-sample procedures do not result in a genuinely beneficial trade-off between size and 
  power, they are particularly successful in controlling the size for selection problems that 
  were previously seemed almost intractable.
Length:17 pages
Creation-Date: 2003-04-16
Number:2003-W17
File-URL: http://www.nuff.ox.ac.uk/economics/papers/2003/W17/dfhhmk03b.pdf
File-Format: application/pdf
Handle: RePEc:nuf:econwp:0317