The Properties of Automatic Gets Modelling

By David F. Hendry, Hans-Martin Krolzig. 2005

382 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/9524e0dee43d751e756cf678d47f72cabf3f9137

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Citations in the corpus

Stock Market Integration and the Global Financial Crisis (2015, methodology): “In this task, we follow Bekaert et al. (2011) and Bekaert et al. (2014) and employ a generalto-specific algorithm, as explained for example in Hendry and Krolzig (2005).”
An Automatic Test of Super Exogeneity (2010, background): “…are based partly on thePcGetsprogram (see Hendry and Krolzig, 2001) and partly on the more recentAutometricsalgorithm inPcGive(see Doornik, 2007a, 2007c), which extends general-tospecific modeling to settings with more variables than observations (see Hendry and Krolzig, 2005, and Doornik, 2007b).”
THE FINANCIAL CRISIS AND THE SYSTEMIC FAILURE OF THE ECONOMICS PROFESSION (2009, positive): “David Hendry (1995 and 2009) provides a well-established empirical methodology for such exploratory data analysis as well as a general theory for model selection (Hendry and Krolzig 2005).”
Model selection when there are multiple breaks (2012, background): “There are also many possible contenders for (D), including, but not restricted to, Phillips (1994, 1995, 1996), Tibshirani (1996), Hoover and Perez (1999, 2004), Hendry and Krolzig (1999, 2001), White (2000), Krolzig (2003), Kurcewicz and Mycielski (2003), Demiralp and Hoover (2003), and Perez-Amara”
We Ran One Regression (2004, neutral): “We ran one basic regression for each data set, precisely so for Fernández et al. (2001), although really requiring six regressions for Hoover and Perez (2004) because of the multiplyimputed data.”
Selecting a Regression Saturated by Indicators (2007, background): “Its properties when doing so form N are described in Hendry and Krolzig (2005).”
Forecasting Macroeconomic Variables Using Neural Network Models and Three Automated Model Selection Techniques (2016, background): “Hendry and Krolzig (2005) suggested dividing the variables into subsets, each of which contains fewer variables than observations.”
Consistent Model Selection by an Automatic "Gets" Approach (2003, methodology): “The Monte Carlo evidence in Hendry and Krolzig (2003a) on the performance ofPcGetsacross a range of experiments confirms that these strategies have their intended null rejection frequencies, and given those, both have power close to the optimum obtainable, namely that of an equivalent significance…”
Democracy, Political Risks and Stock Market Performance (2015, positive): “In this task, we follow Bekaert et al. (2011) and Bekaert et al. (2014) and employ general-to-specific algorithm, explained in Hendry and Krolzig (2005).”