Constructive data mining
Subtitle: modeling Argentine broad money demand
By: Neil R. Ericsson and Steven B. Kamin.
Contributors: Kamin, Steven, 1957-
Series: International finance discussion papers -- no. 943; International finance discussion papers (Online) -- no. 943.
Publisher: Federal Reserve Board
Published: 2008
Place of publication: Washington, D.C
Language: eng
Format: Electronic resource
Description: "This paper 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"--Federal Reserve Board web site.
Notes: Title from PDF file as viewed on 6/18/2009.

Includes bibliographical references.

Also available in print.

System requirements: Adobe Acrobat Reader.

Mode of access: World Wide Web.