What is new?

2002 Training Programme is now available. The course "Modelling with PcGets" by Cambridge Econometrics is useful, not just to PcGets users, to professionals needing to produce forecasts and unsure their ability to handle the statistical methodology behind econometric modelling.

What is PcGets (by David F. Hendry and Hans-Martin Krolzig)?

PcGets™ is an automated software system for econometric modelling. This package is designed for modelling economic data when the precise formulation of the equation under analysis is not known a priory. The current version is for models that are linear in variables. Experiments show that PcGets ‘outperforms’ even the most experienced econometrician. With PcGets all the drudgery has gone – you choose the variables, PcGets defines sensible and statistically valid model(s), allowing you to concentrate on the variable choice and interpretation of the model(s).

PcGets™ estimation methods currently supported include ordinary and recursive least squares, instrumental variables and recursive instrumental variables. Models are easily revised, transformed and simplified; up to 15 models are remembered for easy recall and progress evaluation.is also applicable to cross-section data and most of its facilities are available for such analyses. PcGets is also applicable to cross-section data and most of its facilities are available for such analyses.

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PcGets™ combines the user friendliness, powerful graphics and flexible data management of GiveWin 2 with the latest methods for single-equation econometric model building provided by PcGive. Like PcGive 10, it is a user-friendly, fully-interactive and menu driven program. Monte Carlo experiments demonstrate that PcGets recovers the correct specification from a general model with size and power close to commencing from the data-generating process (DGP) itself.

PcGets™ is an immensely powerful, labour saving tool for econometric modelling - invaluable when conduting empirical studies. The incisive selection of algorithms and the wide range of pre-programmed tests make PcGets easily the most useful interactive econometric modelling program available. The roles are enhanced by the flexible and informative graphics options provided.

PcGets™ is part of the OxMetrics family and is an Ox package.

PcGets™ authors are Prof. David F. Hendry and Dr. Hanz-Martin Krolzig

The accompanying book explains the underlying econometrics of this automatic approach to model selection as well as the program usage.

Key Features

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Training and Consultancy

Technical Information