Campos, Julia; Hendry, David F.; Krolzig, Hans-Martin - In: Oxford Bulletin of Economics and Statistics 65 (2003) s1, pp. 803-819
We establish the consistency of the selection procedures embodied in "PcGets", and compare their performance with other model selection criteria in linear regressions. The significance levels embedded in the "PcGets" Liberal and Conservative algorithms coincide in very large samples with those...