Yusof, Norhayati and Ismail, Suzilah and Tuan Muda, Tuan Zalizam (2015) Assessing the simulation performances of multiple model selection algorithm. In: 5th International Conference on Computing and Informatics (ICOCI) 2015, 11-13 August 2015, Istanbul, Turkey.

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Abstract

The Autometrics is an algorithm for single equation model selection.It is a hybrid method which combines expanding and contracting search techniques.In this study, the algorithm is extended for multiple equations modelling known as SURE-Autometrics.The aim of this paper is to assess the performance of the extended algorithm using various simulation experiment conditions. The capability of the algorithm in finding the true specification of multiple models is measured by the percentage of simulation outcomes.Overall results show that the algorithm has performed well for a model with two equations.The findings also indicated that the number of variables in the true models affect the algorithm performances. Hence, this study suggests improvement on the algorithm development for future research.

Item Type:	Conference or Workshop Item (Paper)
Additional Information:	ISBN No: 978-967-0910-02-4 Jointly organized by: Universiti Utara Malaysia & Instanbul Zaim Universitesi
Uncontrolled Keywords:	algorithm, SURE-Autometrics, Autometrics, seemingly unrelated regressions, feasible generalized least squares
Subjects:	Q Science > QA Mathematics
Divisions:	School of Applied Psychology, Social Work & Policy
Depositing User:	Mrs. Norhayati Yusof
Date Deposited:	15 Sep 2015 08:56
Last Modified:	28 Apr 2016 01:38
URI:	https://repo.uum.edu.my/id/eprint/15487

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