Sub-sample Model Selection Procedures in Gets Modelling

  title={Sub-sample Model Selection Procedures in Gets Modelling},
  author={David F. Hendry and Hans-Martin Krolzig},
When the DGP is nested in the model, PcGetsdelivers high performance selection across different (unknown) states of nature. One of its steps involves sub-sample post-selection assessment, and here we consider its properties and investigate its practical application. The simulation results show that conditional on retaining a variable, sub-sample information… CONTINUE READING