General‐to‐Specific Modelling Using PcGets

Dorian Owen

Journal of Economic Surveys, 2003, vol. 17, issue 4, 609-628

Abstract: Abstract. This review examines the facilities provided by PcGets version 1.0, an OxMetrics module designed to implement automated general‐to‐specific model selection in the context of cross‐section or dynamic time‐series models that are linear in the parameters. A cross‐section empirical example is used to illustrate the steps involved, the output produced and the options available for modellers.

Date: 2003
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