Global search regression: A new automatic model-selection technique for cross-section, time-series, and panel-data regressions

Gluzmann Pablo; Panigo Demian

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Global search regression: A new automatic model-selection technique for cross-section, time-series, and panel-data regressions

机译：全局搜索回归：一种新的自动模型选择技术，用于横截面，时间序列和面板数据回归

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摘要

In this article, we present gsreg, a new automatic model-selection technique for cross-section, time-series, and panel-data regressions. Like other exhaustive search algorithms (for example, vselect), gsreg avoids characteristic path-dependence traps of standard approaches as well as backward- and forward-looking approaches (like Pc Gets or relevant transformation of the inputs network approach). However, gsreg is the first code that 1) guarantees optimality with out-of-sample selection criteria; 2) allows residual testing for each alternative; and 3) provides (depending on user specifications) a full-information dataset with outcome statistics for every alternative model.

机译：在本文中，我们介绍了gsreg，这是一种用于横截面，时间序列和面板数据回归的新型自动模型选择技术。与其他穷举搜索算法（例如vselect）一样，gsreg避免了标准方法以及后向和前向方法（例如Pc Gets或输入网络方法的相关转换）的特征性路径依赖陷阱。但是，gsreg是第一个代码，它（1）使用样本外选择标准保证最优性； 2）允许对每个备选方案进行残留测试；和3）（根据用户规范）为每个替代模型提供包含结果统计信息的完整信息数据集。

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来源
《The stata journal》 |2015年第2期|325-349|共25页
作者
Gluzmann Pablo; Panigo Demian;
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作者单位

Argentine Natl Council Sci & Technol Res, Ctr Distribut Labor & Social Studies, La Plata, Buenos Aires, Argentina|Natl Univ La Plata, La Plata, Buenos Aires, Argentina;

Natl Univ Moreno, Argentine Natl Council Sci & Technol Res, Ctr Worker Innovat, La Plata, Buenos Aires, Argentina|Natl Univ La Plata, La Plata, Buenos Aires, Argentina;

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正文语种 eng
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关键词
st0383; gsreg; automatic model selection; vselect; PcGets; RETINA;

机译：st0383;gsreg;自动模型选择;vselect;PcGets;RETINA;

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7. Global Search Regression: A New Automatic Model-selection Technique for Cross-section, Time-series, and Panel-data Regressions [O] . Pablo Gluzmann, Demian Panigo 2015

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8. Regression Analysis for Mixed Cross-Section and Time-Series Data with References to Some Incomplete Observations Techniques [R] . Gill, R. D. 1978

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Global search regression: A new automatic model-selection technique for cross-section, time-series, and panel-data regressions

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