Epilogue: The Success of General‐To‐Specific Model Selection

David F. Hendry

in Econometrics: Alchemy or Science?

Published in print October 2000 | ISBN: 9780198293545
Published online November 2003 | e-ISBN: 9780191596391 | DOI:
 Epilogue: The Success of General‐To‐Specific Model Selection

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The essential roles of methodology in the development of sound econometric models and of computers in making econometrics operational are noted. The former has led to the theory of reduction as a basis for general‐to‐specific (Gets) modelling procedures to build congruent empirical models. Software for data management, graphics, estimation, testing, and simulation have underpinned many of the great strides in the discipline. A new generation of computer programs (such as PcGets) bids fair both to resolve many of the methodological issues about model selection that have been the subject of debate—by demonstrating that general‐to‐specific works. PcGets controls the significance level of the selection process, yet attains a power close to the maximum feasible. Automatic modelling both facilitates simulation studies to evaluate its properties and greatly reduces the burdens of empirical modelling.

Keywords: automatic modelling; general‐to‐specific modelling; model reduction; model selection; PcGets; significance level; test power

Chapter.  13227 words. 

Subjects: Econometrics and Mathematical Economics

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