AUTOMATIC PROCEDURE OF BUILDING SPECIFICATION OF DYNAMIC CONGRUENT MODEL IN GRETL PACKAGE

In recent years we can observe intensive development of automatic model selection procedures. Best known are PcGets and RETINA. Such intensive work encourage to work on a new procedures. The concept of Congruent Modeling, formulated by Prof. Zygmunt Zielinski, is a very good framework for such development, including programming work, as well as many theoretical considerations. In the paper there is presentation of concept of algorithm for automatic congruent modeling procedure and its implementation in Gretl..