Consistent Model Selection by an Automatic "Gets" Approach

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The Properties of Automatic Gets Modelling (2005, unknown): “Campos et al. (2003) show that pre-search tests can also improve model selection based on information criteria (related to the argument in Hansen, 1999).”
Model selection when there are multiple breaks (2012, background): “Using this 1-cut decision rule, it is straigh tforward to maintain the false null retention rate at (say) less than one variable by setting � � 1/N , 8N . For small N , much tighter choices are, of course, feasible, and � should also tend to zero as T increases to ensure a consistent selection (see ”
Automatic selection of indicators in a fully saturated regression (2008, methodology): “For general analysis of Gets, see inter alia, Hoover and Perez (1999, 2004), Krolzig and Hendry (2001), Hendry and Krolzig (2001, 2003, 2005), Campos et al. (2003), Granger and Hendry (2003), and Campos et al. (2005); details of the standard PcGets algorithm are presented in the appendix to Hendry a”