A DIALOGUE CONCERNING A NEW INSTRUMENT FOR ECONOMETRIC MODELING

Clive W. J. Granger and David F. Hendry ()

Econometric Theory, 2005, vol. 21, issue 01, pages 278-297

Abstract: 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).

Date: 2005
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