Summary PcGets is a computer program that implements automated econometric model selection. After discussing the installation and the documentation of the program, I describe the interface and the algorithm. Before concluding, I give an illustration of use of the program.

In this paper we propose a new approach for dynamic decision problems where forward-looking agents choose a set of non-stationary variables subject to quadratic adjustment costs. It is assumed that expectations are computed by a cointegrated Vector Equilibrium Correction Model (VEqCM). The role...