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The Methodology and Practice of EconometricsA Festschrift in Honour of David F. Hendry$
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Jennifer Castle and Neil Shephard

Print publication date: 2009

Print ISBN-13: 9780199237197

Published to Oxford Scholarship Online: September 2009

DOI: 10.1093/acprof:oso/9780199237197.001.0001

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Autometrics *

Autometrics *

Chapter:
(p.88) 4 Autometrics*
Source:
The Methodology and Practice of Econometrics
Author(s):

Jurgen A. Doornik

Publisher:
Oxford University Press
DOI:10.1093/acprof:oso/9780199237197.003.0004

Autometrics is a new algorithm for automatic model selection within the general-to-specific framework (also known as the ‘Hendry’ or ‘LSE’ methodology). It improves on previous implementations through an enhanced search method which essentially makes a presearch simplification unnecessary. In addition, the algorithm is presented within a likelihood framework, allowing for applications beyond regression models. The tuning parameters of the Autometrics algorithm are determined through Monte Carlo experiments, and evidence regarding its performance is presented.

Keywords:   automatic model selection, autometrics, computational econometrics, encompassing, general-to-specific modelling, Monte Carlo experiments

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