Evaluating Automatic Model Selection
نویسندگان
چکیده
منابع مشابه
Evaluating Automatic Model Selection
We outline a range of criteria for evaluating model selection approaches that have been used in the literature. Focusing on three key criteria, we evaluate automatically selecting the relevant variables in an econometric model from a large candidate set. General-tospecific selection is outlined for a regression model in orthogonal variables, where only one decision is required to select, irresp...
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ژورنال
عنوان ژورنال: Journal of Time Series Econometrics
سال: 2011
ISSN: 1941-1928
DOI: 10.2202/1941-1928.1097