Friday, 18 March 2011: 18:00
In our paper we present procedure of automatic specification congruent dynamic econometric model – CongruentSpecification – available for Gretl package. We discuss basic assumptions of this procedure and realize comparison with Autometrics – similar procedure available in OxMetrics software. We perform comparison of empirical models and predictions for different types of time-series got from both these automatic dynamic econometric model selection procedures.