Brüggemann, Ralf; Krolzig, Hans-Martin; Lütkepohl, Helmut - Economics Group, Nuffield College, University of Oxford - 2003
The objective of this study is to compare alternative computerized model-selection strategies in the context of the vector autoregressive (VAR) modeling framework. The focus is on a comparison of subset modeling strategies with the general-to-specific reduction approach automated by PcGets....
