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The Methodology and Practice of EconometricsA Festschrift in Honour of David F. Hendry$
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Jennifer Castle and Neil Shephard

Print publication date: 2009

Print ISBN-13: 9780199237197

Published to Oxford Scholarship Online: September 2009

DOI: 10.1093/acprof:oso/9780199237197.001.0001

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PRINTED FROM OXFORD SCHOLARSHIP ONLINE (www.oxfordscholarship.com). (c) Copyright Oxford University Press, 2020. All Rights Reserved. An individual user may print out a PDF of a single chapter of a monograph in OSO for personal use. date: 07 April 2020

Constructive Data Mining: Modelling Argentine Broad Money Demand *

Constructive Data Mining: Modelling Argentine Broad Money Demand *

Chapter:
(p.412) 17 Constructive Data Mining: Modelling Argentine Broad Money Demand*
Source:
The Methodology and Practice of Econometrics
Author(s):

Neil R. Ericsson

Steven B. Kamin

Publisher:
Oxford University Press
DOI:10.1093/acprof:oso/9780199237197.003.0017

This chapter assesses the empirical merits of PcGets and Autometrics — two recent algorithms for computer-automated model selection — using them to improve upon Kamin and Ericsson's (1993) model of Argentine broad money demand. The selected model is an economically sensible and statistically satisfactory error correction model, in which cointegration between money, inflation, the interest rate, and exchange rate depreciation depends on the inclusion of a ‘ratchet’ variable that captures irreversible effects of inflation. Short-run dynamics differ markedly from the long run. Algorithmically based model selection complements opportunities for the researcher to contribute value added in the empirical analysis.

Keywords:   autometrics, broad money, dynamic specification, cointegration, conditional models, currency substitution, dollarization, error correction, exogeneity, hyperinflation

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