Data from Constructing Historical Euro-Zone Data, Economic Journal, 2001, 111:F102-F121. Quarterly, 1979q1 to 1999q4.

The controversy over the selection of 'growth regressions' was precipitated by some remarkably numerous 'estimation' strategies, including two million regressions by Sala-i-Martin ["American Economic Review" (1997b) Vol. 87, pp. 178-183]. Only one regression is really needed, namely the general...

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...