Re: [Gretl-users] Variable selection
Hello Sven,
Yes I mean all possible combinations of regressors.
PG
*Periklis Gogas
<http://www.econ.duth.gr/personel/dep/gkogkas/index.en.shtml>*
Associate Professor
of Economic Analysis and International Economics
Department of Economics, Democritus University of Thrace
Associate Editor - Journal of Economic Asymmetries
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Euro Area Business Cycle Network - Fellow
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The Rimini Centre for Economic Analysis - Fellow
<http://www.rcfea.org/component/option,com_frontpage/Itemid,1/>
The Society for Economic Measurement - Member
<http://sem.society.cmu.edu/home.html>
Institute for Nonlinear Dynamical Inference (INDI) - Charter Fellow
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- το νέο μου βιβλίο
On Fri, Jun 15, 2018 at 4:50 PM Sven Schreiber <svetosch(a)gmx.net> wrote:
Am 15.06.2018 um 14:55 schrieb Riccardo (Jack) Lucchetti:
On Fri, 15 Jun 2018, Periklis Gogas wrote:
Are there any variable selection methodologies included in Gretl?
Something like STEPLS, Combinatorial, etc?
The two possibilities that come to my mind atm are the omit command with
the --auto option and M. Błażejovski & J. Kwiatkowski's excellent BMA
function package (https://www.jstatsoft.org/article/view/v068i05).
Thanks for pointing it out, it wasn't obvious to me before that it can be
viewed as a variable selection tool.
Adding more options would make for a very nice function package, IMO.
There is also the 'addlist' function package by Allin which does the
specific-to-general direction. (omit --auto being general-to-specific)
With "combinatorial" do you mean trying out all possible specifications by
brute force?
cheers,
sven
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