PcGets

PcGets is an automatic econometric model selectionogram. This package is designed for modelling economic data when the precise formulation of the equation under analysis is not known a priori. The current version is for models that are linear in variables. PcGets is a revolutionary new approach to model building, based on recent advances in the understanding of model selection procedures. Experiments show that PcGets 'outperforms' even the most experienced econometrician. With PcGets all the drudgery has gone—you choose the variables, then PcGets selects sensible and statistically-valid model(s), allowing you to concentrate on the variable choice and interpretation of the model(s).

PcGets combines the user friendliness, powerful graphics and flexible data management of OxMetrics with the latest methods for single-equation econometric model building provided by PcGive. The accompanying book explains the underlying econometrics of this automatic approach to model selection as well as the program usage.