General-to-Specific or Specific-to-General Modelling? An Opinion on Current Econometric Terminology
Title: General-to-Specific or Specific-to-General Modelling? An Opinion on Current Econometric Terminology
Author: LUETKEPOHL, Helmut
Citation: Journal of Econometrics, 2007, 136, 1, 319-324
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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