Thursday, February 22, 2007

Automatic modelling

David Hendry of Oxford has been at the forefront of econometric forecasting. Together with Krolzig he has developped PcGets which is an automatic econometric model selection program. PcGets is designed for modelling economic data when the precise formulation of the equation under analysis is not known a priori. The current version is for models that are linear in variables. The gets stands for the general-to-specific methodology.

In the long term this software will basically get rid of econometricians.

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