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A Dialogue Concerning A New Instrument For Econometric Modeling

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Author Info

  • Granger, Clive W.J.
  • Hendry, David F.

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).

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Bibliographic Info

Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 21 (2005)
Issue (Month): 01 (February)
Pages: 278-297

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Handle: RePEc:cup:etheor:v:21:y:2005:i:01:p:278-297_05

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Cited by:
  1. Jaime Marquez, 2005. "Estimating elasticities for U.S. trade in services," International Finance Discussion Papers 836, Board of Governors of the Federal Reserve System (U.S.).
  2. Pesaran, M. Hashem & Timmermann, Allan, 2004. "Real Time Econometrics," IZA Discussion Papers 1108, Institute for the Study of Labor (IZA).
  3. Ulaşan, Bülent, 2012. "Cross-country growth empirics and model uncertainty: An overview," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 6(16), pages 1-69.
  4. Søren Johansen & David F. Hendry & Carlos Santos, 2007. "Selecting a Regression Saturated by Indicators," CREATES Research Papers 2007-36, School of Economics and Management, University of Aarhus.
  5. Hassler, Uwe, 2010. "Testing regression coefficients after model selection through sign restrictions," Economics Letters, Elsevier, vol. 107(2), pages 220-223, May.
  6. Jane E. Ihrig & Mario Marazzi & Alexander D. Rothenberg, 2006. "Exchange-rate pass-through in the G-7 countries," International Finance Discussion Papers 851, Board of Governors of the Federal Reserve System (U.S.).
  7. Charles P. Thomas & Jaime Marquez & Sean Fahle, 2008. "Measuring U.S. international relative prices: a WARP view of the world," International Finance Discussion Papers 917, Board of Governors of the Federal Reserve System (U.S.).
  8. Ulaşan, Bülent, 2011. "Cross-country growth empirics and model uncertainty: An overview," Economics Discussion Papers 2011-37, Kiel Institute for the World Economy.
  9. Marcin Blazejowski & Pawel Kufel & Tadeusz Kufel, 2009. "Automatic Procedure of Building Congruent Dynamic Model in Gretl," EHUCHAPS, Universidad del País Vasco - Facultad de Ciencias Económicas y Empresariales.
  10. Castle, Jennifer L. & Hendry, David F., 2014. "Model selection in under-specified equations facing breaks," Journal of Econometrics, Elsevier, vol. 178(P2), pages 286-293.
  11. Marquez, Jaime, 2006. "Estimating elasticities for U.S. trade in services," Economic Modelling, Elsevier, vol. 23(2), pages 276-307, March.

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