The recent controversy over model selection in the context of `growth regressions` has led to some remarkably numerous `estimation` strategies, including 4 million regressions by Sala-i-Martin (1997b). Only one regression is really needed, namely the general unrestricted model, appropriately...

We examine the properties of automatic model selection, as embodied in PcGets, and evaluate its performance across different (unknown) states of nature. After describing the basic algorithm and some recent changes, we discuss the consistency of its selection procedures, then examine the extent...

Disputes about econometric methodology partly reflect a lack of evidence on alternative approaches. We reconsider econometric model selection from a computer-automation perspective, focusing on general-to-specific reductions, embodied in PcGets. Starting from a general congruent model, standard...

We examine the properties of automatic model selection, as embodied in PcGets, and evaluate its performance across different (unknown) states of nature. After describing the basic algorithm and some recent changes, we discuss the consistency of its selection procedures, then examine the extent...

Over the last three decades, the LSE methodology (see Hendry, 1993, for an overview) has emerged as a leading approach for pursuing econometrics. One of its main tenets is the concept of general-to-specific modelling: Starting from a general dynamic statistical model, which captures the...

Structural vector autoregressive (SVAR) models have emerged as a dominant research strategy in empirical macroeconomics, but suffer from the large number of parameters employed and the resulting estimation uncertainty associated with their impulse responses. In this paper we propose...

The objective of this study is to compare alternative computerized model-selection strategies in the context of the vector autoregressive (VAR) modeling framework. The focus is on a comparison of subset modeling strategies with the general-to-specific reduction approach automated by PcGets....

In this paper we introduce a small Keynesian model of economic growth which is centered around two advanced types of Phillips curves, one for money wages and one for prices, both being augmented by perfect myopic foresight and supplemented by a measure of the medium-term inflationary climate...

By generalizing Hamiltons model of the US business cycle to a three-regime Markov-switching vector autoregressive model, this paper analyzes regime shifts in the stochastic process of economic growth in the US, Japan and Europe over the last four decades. Empirical evidence is established for...

We propose testing for business cycle first-moment asymmetries in Markov-switching autoregressive (MS-AR) models. We derive the parametric restrictions on MS-AR models that rule out types of asymmetries such as deepness, steepness, and sharpness, and set out a testing procedure based on Wald...