Abstract
The general-to-specific methodology (also known as the London School of Economics, LSE, methodology) is one of the most widely used methods of econometric model construction. Recently, specification search algorithms that automate some stages of the general-to-specific methodology have been proposed. In this paper we present an enhanced specification search algorithm. Extensions include cointegration analysis and automated construction of Error Correction Models. Although, specification search algo-rithms were originally developed to analyse how well does the LSE modelling approach work in controlled conditions, they are also a valuable tool for empirical research. As an empirical example, an automated construction of a demand function for narrow money in Austria is presented. Results are similar to those obtained in a more traditional way - a stable money demand function is found.
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Kurcewicz, M. (2002). ModelBuilder — an Automated General-to-specific Modelling Tool. In: Härdle, W., Rönz, B. (eds) Compstat. Physica, Heidelberg. https://doi.org/10.1007/978-3-642-57489-4_71
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DOI: https://doi.org/10.1007/978-3-642-57489-4_71
Publisher Name: Physica, Heidelberg
Print ISBN: 978-3-7908-1517-7
Online ISBN: 978-3-642-57489-4
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