General-to-specific or specific-to-general modelling? An opinion on current econometric terminology |
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Authors: | Helmut Lütkepohl |
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Institution: | Department of Economics, European University Institute, Via della Piazzuola 43, I-50133 Firenze, Italy |
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Abstract: | It is argued that what is the dominant approach to analyzing systems of cointegrated variables is not well described as general-to-specific (gets) modelling. The gets approach was developed during the last decades predominantly in a single equation framework. For multivariate modelling and especially cointegration analysis the leading approach is better classified as bottom-up or specific-to-general (spec) modelling. |
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Keywords: | C32 |
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