Automatic procedure of congruent dynamic model specification in Gretl
DOI:
https://doi.org/10.12775/AUNC_ECON.2009.028Keywords
congruent dynamic modelling, GUM, automatic model selection, PcGets, RETINA, GRETLAbstract
In the last years we can observe intensive development of automatic model selection procedures. Best known are PcGets and RETINA. Such intensive work encourage to work on a new procedures. The concept of Congruent Modelling, formulated by Prof. Zygmunt Zieliński, is a very good framework for such development, including programming work, as well as many theoretical considerations. In the paper we present our concept of algorithm for automatic congruent modelling procedure and propose it's implementation in Gretl.
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