Automatic Model Selection: A New Instrument for Social Science

In: Electoral Studies, Band 23, Heft 3, S. 525-544

Abstract

The properties of automatic model selection are discussed, focusing on PcGets. We explain the background concepts & why automatic methods can perform well. Criticisms of model selection procedures are noted & rebutted. The algorithm is sketched, distinguishing between costs of search & costs of inference: the latter are unavoidable in any statistical science, whereas the costs of searching seem small in comparison. The choice of a 'search strategy' & the actual simulation performance of the approach are discussed. We outline a number of developments that will improve the behavior, & generalize the scope, of such programs, & tackle hitherto intractable problems. 1 Figure, 58 References. [Copyright 2004 Elsevier Ltd.]