Re: [Gretl-users] Variable selection

Fri, 15 Jun 2018 20:23:27 +0100 

Some econometric software packages have model search tools such as those
proposed here.  During my working days I have seen tools such as these
being misused.  I would be sure that no one on this list would use such a
tool to search for a model that "fitted" the data well  and then present
the final t-stats etc, as if they were the results of the estimation of
some model derived from theory.  This is either dishonest or incompetent.
On several occasions when presented with such work I tried to explain the
statistical problems to be told that if there were such problems the
routines would not have been included in the software.  My recommendation
would be not to include such a routine in gretl.  Gretl is an excellent
econometric package and we should avoid introducing routines that bring
econometrics into disrepute.


John C Frain
3 Aranleigh Park
Rathfarnham
Dublin 14
Ireland
www.tcd.ie/Economics/staff/frainj/home.html
mailto:frainj(a)tcd.ie
mailto:frainj(a)gmail.com


On Fri, 15 Jun 2018 at 18:58, Periklis Gogas <perrygogas(a)gmail.com> wrote:

> Yes of course, I would love to use it.
>
> On Fri, Jun 15, 2018, 20:46 Henrique Andrade <henrique.coelho(a)gmail.com>
> wrote:
>
>> Em 15 de junho de 2018, Periklis Gogas escreveu:
>>
>> Yes I mean all possible combinations of regressors.
>>>
>>
>> Dear Periklis, I have an almost finishe function called Automod that
>> tests all the possible combinations. If you want to take a look I can share
>> with you.
>>
>> Best,
>> Henrique Andrade
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Some econometric software packages have model search tools such as those proposed here.  During my working days I have seen tools such as these being misused.  I would be sure that no one on this list would use such a tool to search for a model that "fitted" the data well  and then present the final t-stats etc, as if they were the results of the estimation of some model derived from theory.  This is either dishonest or incompetent.  On several occasions when presented with such work I tried to explain the statistical problems to be told that if there were such problems the routines would not have been included in the software.  My recommendation would be not to include such a routine in gretl.  Gretl is an excellent econometric package and we should avoid introducing routines that bring econometrics into disrepute. 


John C Frain
3 Aranleigh Park


On Fri, 15 Jun 2018 at 18:58, Periklis Gogas <[email protected]> wrote:
Yes of course, I would love to use it. 

On Fri, Jun 15, 2018, 20:46 Henrique Andrade <[email protected]> wrote:
Em 15 de junho de 2018, Periklis Gogas escreveu:

Yes I mean all possible combinations of regressors.

Dear Periklis, I have an almost finishe function called Automod that tests all the possible combinations. If you want to take a look I can share with you.

Best,
Henrique Andrade
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