Automatic model selection: a new instrument for social science

The properties of automatic model selection are discussed, focusing on PcGets. We explain the background concepts and why automatic methods can perform well. Criticisms of model selection procedures are noted and rebutted. The algorithm is sketched, distinguishing between costs of search and costs o...

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Bibliographic Details
Published in:Electoral studies 2004-09, Vol.23 (3), p.525-544
Main Authors: Hendry, David F., Krolzig, Hans-Martin
Format: Article
Language:English
Subjects:
Algorithms
DHSY
Economic modeling
Economic Models
Encompassing
Gets
Methodology
Methodology (Data Analysis)
Model selection
Model testing
Research Design
Simulation
Statistics
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Description
Summary:The properties of automatic model selection are discussed, focusing on PcGets. We explain the background concepts and why automatic methods can perform well. Criticisms of model selection procedures are noted and rebutted. The algorithm is sketched, distinguishing between costs of search and costs of inference: the latter are unavoidable in any statistical science, whereas the costs of searching seem small in comparison. The choice of a ‘search strategy’ and the actual simulation performance of the approach are discussed. We outline a number of developments that will improve the behavior, and generalize the scope, of such programs, and tackle hitherto intractable problems.
ISSN:0261-3794
1873-6890
DOI:10.1016/j.electstud.2004.05.002