FRB: General-to-specific Modeling: An Overview and Selected Bibliography

International Finance Discussion Papers

General-to-specific Modeling: An Overview and Selected Bibliography
Julia Campos; Neil R. Ericsson; David F. Hendry
2005-838 (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.

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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, non-nested hypotheses, PcGets, PcGive, reduction, specific-to-general modeling

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