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"This paper assesses the empirical merits of PcGets and Autometrics--two recent algorithms for computer-automated model selection--using them to improve upon Kamin and Ericsson's (1993) model of Argentine broad money demand. The selected model is an economically sensible and statistically satisfactory error correction model, in which cointegration between money, inflation, the interest rate, and exchange rate depreciation depends on the inclusion of a "ratchet" variable that captures irreversible effects of inflation. Short-run dynamics differ markedly from the long run. Algorithmically based model selection complements opportunities for the researcher to contribute value added in the empirical analysis"--Federal Reserve Board web site.
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Constructive data mining: modeling Argentine broad money demand
2008, Federal Reserve Board
Electronic resource
in English
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Book Details
Edition Notes
Title from PDF file as viewed on 6/18/2009.
Includes bibliographical references.
Also available in print.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.
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- Created July 22, 2009
- 4 revisions
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October 29, 2020 | Edited by MARC Bot | import existing book |
July 29, 2012 | Edited by VacuumBot | Updated format '[electronic resource] :' to 'Electronic resource' |
December 15, 2009 | Edited by WorkBot | link works |
July 22, 2009 | Created by ImportBot | Imported from Library of Congress MARC record |