st: New Stata command on SSC -gsreg- (Global Search Regression)

[Demian Panigo <panigo@gmail.com>]

Dear collegues:
As a by-product of our research agenda, we created a new Stata command
called gsreg which, thanks to Kit Baum, is now on SSC (-ssc install
gsreg-).
Global Search Regression, is a new automatic model selection technique
(AMST) for time series, cross-section and panel data regressions. As
other exhaustive search algorithms (e.g. vselect) GSREG avoids
characteristic path-dependence traps of standard backward and forward
looking approaches (like PCGETS or RETINA). However, -gsreg-is the
first Stata model selection code that: 1) guarantees optimality with
out-of-sample selection criteria; 2) allows residual testing for each
alternative; 3) retains -vselect- leaps-and-bound “shortcuts” for
in-sample selection criteria; and 4) provides (depending on user
specifications) a full-information dataset with outcome statistics for
every alternative model.
I wish to thank Timothy Mak, Daniel Feenberg, Stas Kolenikov, Alan
Riley and William Buchanan for their insights about "parallel
computing" which have been used to develop the gsreg "part" option.
Any comments or suggestions would be welcome.

Sincerely,
Demian Panigo
CONICET - Argentina

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