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We Ran One Regression *
Author(s) -
Hendry David F.,
Krolzig HansMartin
Publication year - 2004
Publication title -
oxford bulletin of economics and statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.131
H-Index - 73
eISSN - 1468-0084
pISSN - 0305-9049
DOI - 10.1111/j.1468-0084.2004.102_1.x
Subject(s) - regression , econometrics , statistics , imputation (statistics) , regression analysis , data set , mathematics , economics , missing data
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 unrestricted model, appropriately reduced to a parsimonious encompassing, congruent representation. We corroborate the findings of Hoover and Perez [ Oxford Bulletin of Economics and Statistics (2004) Vol. 66], who also adopt an automatic general‐to‐simple approach, despite the complications of data imputation. Such an outcome was also achieved in just one run of PcGets , within a few minutes of receiving the data set in Fernández, Ley and Steel [ Journal of Applied Econometrics (2001) Vol. 16, pp. 563–576] from Professor Ley.