The properties of automatic model selection are discussed, focusing on PcGets. We explain the background concepts and why automatic methods can perform well. Criticisms of model selection procedures are noted and rebutted. The algorithm is sketched, distinguishing between costs of search and...

There is a wide literature on the dynamic adjustment of employment and its relationship with the business cycle. In this paper we present a statistical model that offers a congruent representation of part of the UK labour market since the mid 1960s. We use a cointegrated vector autoregressive...

There is a wide literature on the dynamic adjustment of employment and its relationship with the business cycle. Our aim is to propose a statistical model that offers a congruent representation of post-war UK labour market. We use a cointegrated vector autoregressive Markov-switching model where...