Grocer Function

NAME

automatic - automatic general to specific regression

CALLING SEQUENCE

[results]=automatic(grocer_namey,varargin)

PARAMETERS

Input

Output

DESCRIPTION

The implementation of Krolzig, H.-M. and Hendry, D.F. (2001): "Computer Automation of General-to-Specific Model Selection Procedures", Journal of Economic Dynamics and Control, 25 (6-7), 831-866. The program selections a model by least-squares regressions: starting from the list of exogenous variables provided by the user, the function select the "best" regression, that is one where all variables are significant, all specification tests are passed, and, if more than one regression has these properties, the one with the smallest aic criterion. The program stores results in a tlist (itself built with regression tlists) and prints the results along the options given by the user.

EXAMPLES

1) [r1]=automatic('del(lm1-lp)','lagts(lm1-lp-ly)','del(lp)','rnet','del(lagts(lm1-lp))', 'del(lagts(2,lm1-lp))','del(lagts(3,lm1-lp))','del(lagts(4,lm1-lp))','del(ly)','del(lagts(1,ly))', 'del(lagts(2,ly))',del(lagts(3,ly))','del(lagts(4,ly))','del(del(lp))','del(del(lagts(1,lp)))','del(del(lagts(2,lp)))','del(del(lagts(3,lp)))','del(del(lagts(4,lp)))','del(rnet)','del(lagts(1,rnet))','del(lagts(2,rnet))','del(lagts(3,rnet))','del(lagts(4,rnet))','cte','prt=initial,final','test=predfailin(0.5),predfailin(0.9),doornhans,arlm(5),hetero_sq') 2) [r2]=automatic('del(lm1-lp)','lagts(lm1-lp-ly)', 'del(lagts(lp))','lagts(rnet)','del(lagts(lm1-lp))','del(lagts(2,lm1-lp))','del(lagts(3,lm1-lp))','del(lagts(4,lm1-lp))','del(ly)','del(lagts(1,ly))', 'del(lagts(2,ly))','del(lagts(3,ly))','del(lagts(4,ly))','del(del(lp))','del(del(lagts(1,lp)))','del(del(lagts(2,lp)))','del(del(lagts(3,lp)))','del(del(lagts(4,lp)))','del(rnet)','del(lagts(1,rnet))','del(lagts(2,rnet))','del(lagts(3,rnet))','del(lagts(4,rnet))','cte','prt=final','test=predfailin(0.5),predfailin(0.9),doornhans,arlm(5),hetero_sq') 3) [r3]=automatic('lm1','lagts(lm1)','lagts(2,lm1)','lagts(3,lm1)','lagts(4,lm1)', 'lp','lagts(1,lp)','lagts(2,lp)','lagts(3,lp)','lagts(4,lp)','ly','lagts(1,ly)','lagts(2,ly)','lagts(3,ly)','lagts(4,ly)','rnet','lagts(1,rnet)','lagts(2,rnet)','lagts(3,rnet)','lagts(4,rnet)','cte','prt=initial,final,st2_mod','test=predfailin(0.51),predfailin(0.862),doornhans,arlm(5),hetero_sq','alpha=0.05')

All these examples start from a rather extensive set of exogenous variables: from 'lagts(lm1-lp-ly)' to 'cte' in examples 1 and 2 and from 'lagts(lm1)' in example 3.

AUTHOR

Eric Dubois 2002