General-to-Specific Modeling: An Overview and Selected Bibliography

94 Pages Posted: 31 Aug 2005

See all articles by Julia Campos

Julia Campos

University of Salamanca - Department of Economics and Economic History

Neil R. Ericsson

Board of Governors of the Federal Reserve System

David F. Hendry

University of Oxford - Department of Economics

Date Written: August 2005

Abstract

This paper discusses the econometric methodology of general-to-specific modeling, in which the modeler simplifies an initially general model that adequately characterizes the empirical evidence within his or her theoretical framework. Central aspects of this approach include the theory of reduction, dynamic specification, model selection procedures, model selection criteria, model comparison, encompassing, computer automation, and empirical implementation. This paper thus reviews the theory of reduction, summarizes the approach of general-to-specific modeling, and discusses the econometrics of model selection, noting that general-to-specific modeling is the practical embodiment of reduction. This paper then summarizes fifty-seven articles key to the development of general-to-specific modeling.

Keywords: cointegration, conditional models, data mining, diagnostic testing, dynamic specification, econometric methodology, encompassing, equilibrium correction models, error correction models, exogeneity, general-to-specific modeling, model comparison, model design, model evaluation, model selection

JEL Classification: C1, C5

Suggested Citation

Campos Fernández, Julia and Ericsson, Neil R. and Hendry, David F., General-to-Specific Modeling: An Overview and Selected Bibliography (August 2005). FRB International Finance Discussion Paper No. 838, Available at SSRN: https://ssrn.com/abstract=791684 or http://dx.doi.org/10.2139/ssrn.791684

Julia Campos Fernández

University of Salamanca - Department of Economics and Economic History ( email )

Facultad de Economia y Empresa
Salamanca 37008
Spain

Neil R. Ericsson (Contact Author)

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States
202-452-3709 (Phone)
202-736-5638 (Fax)

David F. Hendry

University of Oxford - Department of Economics ( email )

Manor Road Building
Manor Road
Oxford, OX1 3BJ
United Kingdom
+44 1865 278544 (Phone)
+44 1865 278557 (Fax)

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