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).

Since the paper by David Hendry and me, which is at the center of this discussion, was written by us separately, I think it is worth recording how this paper started. David was attending the Allied Social Sciences Association meeting in San Diego in January 2004 and stayed with my wife and me. In preparing a talk I realized that over my career I had been fortunate enough to have about eighty coauthors, but I found that the list did not include David. As he had just discussed the use of PcGets as a research tool, I proposed a paper exploring the limits of such a tool. The paper was soon born, and, after the almost obligatory journal rejection, it was picked up by Peter Phillips and this special issue resulted.