Model simplification and variable selection: A replication of the UK inflation model by Hendry (2001)
模型简化与变量选择:复现 Hendry 的英国通胀模型
Summary In this paper, we revisit the well‐known UK inflation model by Hendry ( Journal of Applied Econometrics , 2001, 16 , 255–275. We replicate the results in a narrow sense using the gretl and PcGive programs. In a wide sense, we extend the study of model uncertainty using the Bayesian averaging of classical estimates (BACE) approach as an automatic model reduction strategy. We consider three different specifications to compare BACE variable selection with Hendry's…