General-to-specific modelling using PcGets
Owen, P. Dorian
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.
Publisher: University of Otago
Series number: 213
Keywords: econometric modelling; general-to-specific modelling; model selection; econometric software; PcGets; GiveWin
Research Type: Discussion Paper