Autometrics is a new algorithm for automatic model selection within the general-to-specific framework (also known as the ‘Hendry’ or ‘LSE’ methodology). It improves on previous implementations through an enhanced search method which essentially makes a presearch simplification unnecessary. In addition, the algorithm is presented within a likelihood framework, allowing for applications beyond regression models. The tuning parameters of the Autometrics algorithm are determined through Monte Carlo experiments, and evidence regarding its performance is presented.
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