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A DIALOGUE CONCERNING A NEW INSTRUMENT FOR ECONOMETRIC MODELING

Published online by Cambridge University Press:  08 February 2005

Clive W.J. Granger  and
David F. Hendry
Clive W.J. Granger
Affiliation:
University of California, San Diego
David F. Hendry
Affiliation:
University of Oxford
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Extract

This paper presents a set of questions prepared by Clive Granger with responses by David Hendry on the use of PcGets (see Hendry and Krolzig, 2001) in data modeling and as a new research tool. PcGets is an Ox package (see Doornik, 2001) implementing automatic general-to-specific (Gets) modeling for linear regression models based on the theory of reduction, as in Hendry (1995, Ch. 9).

Type
Research Article
Information
Econometric Theory , Volume 21 , Issue 1 , February 2005 , pp. 278 - 297
Copyright
© 2005 Cambridge University Press

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