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Automatic inference of the contemporaneous causal order of a system of equations. (English) Zbl 1161.62454

Summary: When S. Perez and I first began our Monte Carlo studies of the efficacy of general-to-specific search methodologies in 1995, we were keenly aware of our limited ability to capture the tacit knowledge of the skilled time-series econometrician operating in the London School of Economics (LSE) tradition. Econometrics, we believed, was an art, and our algorithm was not intended to replace the artist. D. Hendry and H.-M. Krolzig’s subsequent development of PcGets did not, in fact, eliminate the art of econometrics. Power tools did not eliminate the art of the cabinetmaker but changed where his value added lay and mportantly made new things possible. PcGets is likewise a new, powerful tool, useful in the hands of a skilled craftsman.

MSC:

62P20 Applications of statistics to economics
65C05 Monte Carlo methods

Software:

PcGets
PDFBibTeX XMLCite
Full Text: DOI

References:

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