The Stata Journal (2014)

14, Number 4, pp. 895–908

General-to-specific modeling in Stata

Damian Clarke
Department of Economics
University of Oxford
Oxford, UK
[email protected]

Abstract. Empirical researchers are frequently confronted with issues regarding

which explanatory variables to include in their models. This article describes the
application of a well-known model-selection algorithm to Stata: general-to-specific
(GETS) modeling. This process provides a prescriptive and defendable way of
selecting a few relevant variables from a large list of potentially important variables
when fitting a regression model. Several empirical issues in GETS modeling are
then discussed, specifically, how such an algorithm can be applied to estimations
based upon cross-sectional, time-series, and panel data. A command is presented,
written in Stata and Mata, that implements this algorithm for various data types
in a flexible way. This command is based on Stata’s regress or xtreg command, so
it is suitable for researchers in the broad range of fields where regression analysis
is used. Finally, the genspec command is illustrated using data from applied
studies of GETS modeling with Monte Carlo simulation. It is shown to perform
as empirically predicted and to have good size and power (or gauge and potency)
properties under simulation.
Keywords: st0365, genspec, model selection, general to specific, statistical analysis,
specification tests

1 Introduction
A common problem facing the applied statistical researcher is that of restricting her
or his models to include the appropriate subset of variables from the real world. This
is particularly the case in regression analysis, where the researcher has a determined
dependent variable y but can (theoretically) include any number of explanatory variables
X in the analysis of y. Sometimes, the researcher can invoke a theory that provides
guidance about what an appropriate set of X variables may be. However, at other
times, an overarching theory may be absent or may fail to prescribe a parsimonious set
of variables. In this situation, the researcher is confronted by issues of model selection:
Of all the variables that could be important, which should be included in the final
regression model?
Econometric theory expounds on this and can offer useful guidance to all classes of
applied statistical researchers—both economists and noneconomists alike. One example
of such guidance concerns the general-to-specific or general-to-simple (GETS) modeling
procedure. GETS is a prescriptive way to select a parsimonious and instructive final
model from a large set of real-world variables and enables the researcher to avoid un-
necessary ambiguity or ad hoc decisions. This process involves the definition of a general


c 2014 StataCorp LP st0365
896 The genspec algorithm in Stata

model that contains all potentially important variables and then, via a series of step-
wise statistical tests, the removal of empirically “unimportant” variables to arrive at
the proposed specific or final model.
There is a considerable amount of literature on the theoretical merits and draw-
backs of such a process of model selection. Hendry and coauthors (see, for example,
Krolzig and Hendry [2001]; Campos, Ericsson, and Hendry [2005]; Hendry and Krolzig
[2005]; and references therein) have various articles defining aspects of the GETS es-
timation procedure and its properties. Applications of GETS are common in analyses
of economic growth (Hendry and Krolzig 2004), consumption (Hoover and Perez 1999;
Campos and Ericsson 1999), and various phenomena in the noneconomic literature (Su-
carrat and Escribano 2012; Cairns et al. 2011).
GETSmodeling is driven by a large group of variables1 and a series of statistical tests
based on subsets of these models. The outcome of a GETS search process is a specific
model that is consistent with necessary properties for valid inference and that contains
all the statistically significant variables from the initial large set. In this sense, model
selection is based upon the observed data and the results of the tests on these data. Such
“data-driven” model selection is not without its critics. Both philosophical (Kennedy
2002a,b) and statistical (Harrell 2001) critiques have been levied against this approach,
with suggestions that it may result in the underestimation of confidence intervals and
p-values and should entail a penalty in terms of degrees of freedom lost.
Despite these critiques, significant arguments can be, and have been, made in favor
of a GETS modeling process.2 Particularly, it appears to perform very well in recovering
the true data-generating process (DGP) in Monte Carlo experiments (Hoover and Perez
1999). For this reason, in this article, I introduce GETS modeling and the corresponding
genspec statistical routine as an addition to the applied researcher’s toolkit in Stata.
This tool is similar to what already exists in other languages such as R and OxMetrix,
and it is a useful extension to Stata’s functionality. As will be shown, genspec performs
as empirically expected and does a good job in recovering the true underlying model in
benchmark Monte Carlo simulations.

1. Typically, this consists of all potentially important independent variables that the researcher can
include, along with nonlinearities and lagged dependent and independent variables.
2. In the remainder of this article, I (purposely) avoid discussions of the merits and drawbacks of this
routine and instead focus on how researchers can implement such a process if they deem it desirable
and useful in their specific context. A long line of literature including counterarguments to the
above concerns exists (see, for example, Hansen [1996], who provides a balanced introduction), and
the interested reader is directed to these resources.
D. Clarke 897

The genspec command, as well as the GETS statistical routine in general, is designed
with regression analysis in mind. For this reason, genspec is based on Stata’s regress
(or xtreg) command. When moving from a series of potential explanatory variables
to one final specific model, genspec runs a number of stepwise regressions, with the
subsequent testing and removal of insignificant variables. This routine is defined in a
flexible way to make it functional in a range of modeling situations. It can be used
with cross-sectional, panel, and time-series data, and it works with Stata functions
that are appropriate in models of these types. It places no limitations on arbitrary
misspecification of models, allowing such features as clustered standard errors, robust
standard errors, and bootstrap- and jackknife-based estimation.
To define an algorithm that is appropriate for a range of very different underlying
models, a researcher must make several decisions. GETS modeling requires that the
preliminary general model be subjected to a range of prespecification tests to ensure
that it complies with the modeling assumptions upon which estimation is based. These
assumptions, and indeed the resulting tests, vary by the type of regression model in
which a researcher is interested. In the following section, I define and discuss the
appropriate tests to run in a range of situations, and I discuss how to select between
competing final models in different circumstances.
To illustrate the performance of genspec, we take a preexisting benchmark in GETS
modeling (Hoover and Perez 1999) and show that similar performance can be achieved
in Stata. These results suggest that GETS modeling and the user-written genspec
command may be useful to Stata users interested in defining appropriate, flexible, and
data-driven economic models.

2 Algorithm description
As alluded to before, GETS modeling requires an initial group of variables, runs a series of
regressions and automated tests, and provides the researcher with a final specific model.
This initial group of variables provided by the researcher is referred to as the general
unrestricted model (GUM) and should contain all potentially important independent
variables. Before beginning analysis, the genspec algorithm tests the GUM for validity
via a series of statistical tests (described later); if the GUM is valid, a regression is run,
with the stepwise removal of the variable with the lowest t statistic. At each step of the
process (or “search path”), a prospective final (or terminal) specification is produced
with the true terminal specification found when no insignificant variables remain in the
current regression model. A comprehensive description of the GETS search process is
provided at the end of this section.
The search algorithm undertaken by genspec depends upon the model type and
GUM specified by the user. Whether the underlying model is based upon cross-sectional,
time-series, or panel data determines the set of initial tests (henceforth, “the battery”)
and the set of subsequent tests run at each stage of the search path. In what follows,
I discuss the general search algorithm followed for every model, delaying discussion of
specific tests until the corresponding subsections for cross-sectional, time series, and
panel models.
898 The genspec algorithm in Stata

In defining the search algorithm, we follow the one described in Hoover and Perez
(1999) and in appendix A of Hoover and Perez (2004). Hoover and Perez (1999) is
considered an important starting point in the description of a computational GETS
modeling process (see, for example, Campos, Ericsson, and Hendry [2005]) and a valid
description of the nature of GETS modeling. The algorithm implemented in Stata takes
the following form:

1. The user specifies her or his proposed GUM and indicates the relevant data to
Stata, using if and in qualifiers if necessary.

2. Of the full sample, 90% is retained, while the remaining 10% is set aside for out-
of-sample testing. The battery of tests is run on this 90% sample at the nominal
size.3 If one of these tests is failed, it is eliminated from the battery in the following
steps of the search path. If more than one of these tests is failed by the GUM, the
user is instructed that the GUM is likely a poor representation of the true model
and an alternative general model is requested.4

3. Each variable in the general model is ranked by the size of its t statistic, and the
algorithm then follows m (by default, five) search paths. The first search path is
initiated by eliminating the variable with the lowest (insignificant) t statistic from
the GUM. The second follows the same process, but rather than eliminating the
lowest, it eliminates the second lowest. This process is followed until reaching the
mth search path that eliminates the mth-lowest variable. For each search path, the
current specification then includes all remaining variables, and this specification
is estimated by regression.

4. The current specification is then subjected to the full battery of tests, along with
an F test, to determine whether the current specification is a valid restriction of
the GUM. If any of these tests fails, the current search path is abandoned, and the
algorithm jumps to the subsequent search path.

5. If the current specification passes the above tests, the variables in the current
specification are once again ordered by the size of their t statistics, and the vari-
able with the next-lowest t statistic is eliminated. This then becomes a potential
current specification, which is subjected to the battery of tests. If any of these
tests fails, the model reverts to the previous current specification, and the variable
with the second-lowest (insignificant) t statistic is eliminated. Such a process is
followed until a variable is successfully eliminated or until all insignificant vari-
ables have been attempted. If an insignificant variable is eliminated, stage 5 is
restarted with the current specification. This process is followed iteratively until
either all insignificant variables have been eliminated or no more variables can be
successfully removed.
3. In sections 2.1–2.3, I discuss the specific nature of these tests and the determination of the in-sample
and out-of-sample observations.
4. As in all terminal decisions, the user can override this decision and continue with her or his proposed
GUM if so desired.
D. Clarke 899

6. Once no further variables can be eliminated, a potential terminal specification is

reached. This specification is estimated using the full sample of data. If all vari-
ables are significant, it is accepted as the terminal specification. If any insignificant
variables remain, these are eliminated as a group, and the new terminal specifica-
tion is subjected to the battery of tests. If it passes these tests, it is the terminal
specification; if it does not, the previous terminal specification is accepted.

7. Each of the m terminal specifications is compared, and if these are different, the
final specification is determined using encompassing or an information criterion
(see the related discussion in sections 2.1–2.3).

2.1 Cross-sectional models

Cross-sectional models are subjected to an initial battery of five tests: a Doornik–
Hansen test for normality of errors, the Breusch and Pagan (1979) test for homoskedas-
ticity of errors,5 the Ramsey regression equation specification error test for the linearity
of coefficients (Ramsey 1969), and an in-sample and out-of-sample stability F test.
These two final tests consist of a comparison of regressions of each subsample with
estimation results for the full sample: in the in-sample test, the two subsamples are
composed of two halves of the full sample, while in the out-of-sample test, a comparison
is made between the 90% and 10% samples. These tests are analogous to Chow (1960)
tests.
Information criteria are used to determine the final model based on ordinary least
squares with cross-sectional data. For each of the m potential terminal specifications,
a regression is run, and the Bayesian information criterion (BIC) is calculated. The
terminal specification that has the lowest BIC is determined to be the final specification.

2.2 Time-series models

In time-series models, an additional test is included in the battery discussed above:
a test is run for autocorrelated conditional heteroskedasticity up to the second order
(Engle 1982). To partition the sample into in sample and out of sample, a researcher
discards the final 10% of observations to be used in out-of-sample tests. These are (as
in all cases) returned to the sample in the calculation of the final model, and a BIC is
once again used to choose between terminal specifications.

2.3 Panel-data models

Given the nature of panel data, the initial battery of tests here potentially includes two
tests omitted in cross-sectional or time-series models. The first of these is a test for serial
correlation of the idiosyncratic portion of the error term (discussed by Wooldridge [2010]
and implemented for Stata by Drukker [2003]). The second is a Lagrange multiplier

5. This test is not run if the fitted model is robust to this type of misspecification.
900 The genspec algorithm in Stata

test for random effects (given that a random-effects model is specified), which tests the
validity of said model (Breusch and Pagan 1980). Along with these tests, a Doornik–
Hansen-type test for normality of the idiosyncratic portion of the error term and both
in-sample and out-of-sample Chow tests (as previously discussed) are estimated.
To determine the final specification from the resulting m potential terminal speci-
fications, the algorithm uses an encompassing procedure. Each variable included in at
least one terminal specification is included in the potential terminal model. This model
is then tested according to step 6 of the algorithm listed in section 2.

3 The genspec command

3.1 Syntax
The syntax of the genspec command is as follows:

, vce(vcetype) xt(re | fe | be)

“ ‰ “ ‰ “ ‰ “
genspec depvar indepvars if in weight
ts nodiagnostic tlimit(#) numsearch(#) nopartition noserial
‰
verbose

Here depvar refers to the dependent variable in the general model, and indepvars
refers to the full set of independent variables to be tested for inclusion in the final model.

3.2 Options
vce(vcetype) determines the type of standard error reported in the fitted regression
model and allows standard errors that are robust to certain types of misspecification.
vcetype may be robust, cluster clustvar, bootstrap, or jackknife.
xt(re | fe | be) specifies that the model is based on panel data. Users must specify
whether they wish to fit a random-effects (re), fixed-effects (fe), or between-effects
(be) model. xtset must be specified before using this option.
ts specifies that the model is based on time-series data. tsset must be specified before
using this option, and if tsset is specified, time-series operators may be used.
nodiagnostic turns off the initial diagnostic tests for model misspecification. This
should be used with caution.
tlimit(#) sets the critical t value above which variables are considered as important
in the terminal specification. The default is tlimit(1.96).
D. Clarke 901

numsearch(#) defines the number of search paths to follow in the model. The default
is numsearch(5). If a large dataset is used, fewer search paths may be preferred to
reduce computational time.
nopartition uses the full sample of data in all search paths and does not engage in
out-of-sample testing.
noserial requests that no serial correlation test be performed if panel data are used.
This option should be specified with the xt option only.
verbose requests full program output of each search path explored.

3.3 Stored results

genspec stores the following in e():
Scalars
e(fit) BIC of final specification
Macros
e(genspec) list of variables from the final specification

The full ereturn list, which includes regression results for the terminal specification,
is available by typing ereturn list.

4 Performance
4.1 An example with empirical data
To illustrate the performance of genspec, we use empirical data from a well-known
applied study of GETS modeling. Hoover and Perez (1999), using data from Lovell
(1983), illustrate that GETS modeling can work well in recovering the true DGP in
empirical applications, even when prospective variables are multicollinear. We use the
Hoover and Perez (1999) dataset in the example below. A brief description of the source
and nature of the data is provided in data appendix A.
We use their model 5 to provide an example of the functionality of genspec. As
described in table 2, the dependent variable in model 5 is generated according to

y5t “ ´0.046 ˆ ggeqt ` 0.11 ˆ ut

In the following Stata excerpt, we see that after loading the dataset and defining the full
set of candidate variables (first and second lags of all independent variables and first to
fourth lags of y5t ), the genspec algorithm searches and returns a model with only one
independent variable. As desired, this final model is the true DGP, with slight sampling
variation in the coefficient on ggeq due to the relatively small sample size.
However, genspec raises one warning: here the GUM does not pass the full battery
of defined tests. Specifically, the GUM fails the in-sample Chow test, which suggests
that the coefficients estimated over the first half of the series are statistically different
902 The genspec algorithm in Stata

from those estimated over the second half. While this may indicate a structural break
signaling that the GUM may not be an appropriate model, genspec respects the GUM
entered by the user and continues to search for (and find) the true model.

. use genspec_data
(Hoover and Perez (1999) data for use in GETS modelling)
. quietly ds y* u* time, not
. local xvars `r(varlist)´
. local lags l.dcoinc l.gd l.ggeq l.ggfeq l.ggfr l.gnpq l.gydq l.gpiq l.fmrra
> l.fmbase l.fm1dq l.fm2dq l.fsdj l.fyaaac l.lhc l.lhur l.mu l.mo
. genspec y5 `xvars´ `lags´ l.y5 l2.y5 l3.y5 l4.y5, ts
# of observations is > 10% of sample size. Will not run out-of-sample tests.
The in-sample Chow test rejects equality of coefficients
Respecify using nodiagnostic if you wish to continue without specification
tests. This option should be used with caution.
The GUM fails 1 of 4 misspecification tests. Doornik-Hansen test for normality
of errors not rejected. The presence of (1 and 2 order) ARCH components is
rejected. Breusch-Pagan test for homoscedasticity of errors not rejected.
Specific Model:
Source SS df MS Number of obs = 143
F( 1, 141) = 1966.22
Model 23.6849853 1 23.6849853 Prob > F = 0.0000
Residual 1.69848221 141 .012045973 R-squared = 0.9331
Adj R-squared = 0.9326
Total 25.3834675 142 .178756814 Root MSE = .10975

y5 Coef. Std. Err. t P>|t| [95% Conf. Interval]

ggeq -.0463615 .0010455 -44.34 0.000 -.0484284 -.0442945

_cons -.0042157 .0091781 -0.46 0.647 -.0223602 .0139289

4.2 Monte Carlo simulation

The previous example suggests that a GETS algorithm performed well in this particular
case. However, to be confident in the functionality of the genspec command, we are
interested in testing whether this performs as empirically expected over a larger range
of models and circumstances. For this reason, we run a set of Monte Carlo simulations
based upon the empirical data described above and in data appendix A. The reason
we test the performance of genspec on these data is twofold. First, the highly multi-
collinear nature of many of these variables makes recovering the true DGP a challenge
for automated search algorithms. Second, and fundamentally, there is already a bench-
mark performance test of how a GETS algorithm should work on the data available in
Hoover and Perez’s (1999) results.
The Monte Carlo simulation is designed as follows. We draw a normally distributed
random variable for use as the u term described in table 2. Using this draw uD (where
superscript D denotes simulated data), we generate the corresponding u˚ (u˚D ); then,
combining uD , u˚D , and the true macroeconomic variables, we simulate each of our nine
different outcome variables y1D , . . . , y9D outlined in the data appendix. Once we have one
D. Clarke 903

simulation for each dependent variable, we run genspec with the 40 candidate variables
and determine whether the true DGP is recovered. This process makes up one simulation.
We then repeat this 1,000 times, observing in each case whether genspec identifies the
true model and, if not, how many of the true variables are correctly included and how
many false variables are incorrectly included.
To determine the performance of the search algorithm, we compare the perfor-
mance of genspec with that of the benchmark performance described in table 7 of
Hoover and Perez (1999). We focus on two important summary statistics: gauge and
potency. Gauge refers to the percent of irrelevant variables in the final model (regard-
less of whether they are significant or not). The gauge shows the frequency of type I
errors in the search algorithm and is analogous to power in typical statistical tests.
The potency of our model refers to the percent of relevant variables in our final model
(Castle, Doornik, and Hendry 2012). We would hope in most searches that potency is
approximately 100% because the final model should at the very least not discard true
variables. We would prefer to have a higher gauge (and more irrelevant—and perhaps
insignificant—variables) if this implies that the final model includes all true variables.
Table 1 presents the performance of the genspec search algorithm and compares
this with the benchmark levels expected. In each case, we see that genspec performs
approximately identically to Hoover and Perez’s (1999) empirical observations. Funda-
mentally, the potency of genspec is identical to that expected with these data, which
suggests that the search algorithm performs as expected in identifying true variables.
We do see, however, that genspec is more likely to incorrectly include false variables
because it has a higher gauge than benchmark performance. This is likely due to a
slight difference in the battery of tests in genspec compared with that of Hoover and
Perez’s (1999) algorithm. In genspec, by default, the critical value for the battery of
tests is set at 5%: this increases the likelihood that a specific test is retained for the
full search path. In the simulations below, Hoover and Perez (1999) report results for a
critical value of 1% in the battery of tests, while the genspec algorithm reports results
at 5% (and 1% for the critical t-value when eliminating irrelevant variables).
 904

Table 1. Performance of genspec in Monte Carlo simulation

Models
1 2 3 4 5 6 7 8 9 Average
Panel A: Algorithm performance
Average rate of inclusion of
True variables N/A 1.00 1.89 1.00 1.00 1.01 3.00 2.95 2.33 —
False variables 0.24 1.42 0.64 0.51 0.55 0.62 2.29 0.73 1.39 0.93
Gauge 0.6% 3.6% 1.6% 1.3% 1.4% 1.5% 5.7% 1.8% 3.5% 2.3%
Potency N/A 100.0% 94.5% 100.0% 100.0% 50.1% 100.0% 98.2% 46.6% 87.7%
Panel B: Benchmark performance
Average rate of inclusion of
True variables N/A 1.00 1.89 0.99 1.00 1.01 2.82 3.00 2.86 —
False variables 0.29 2.31 0.39 0.34 0.32 0.26 1.23 0.38 1.20 0.75
Gauge 0.7% 5.7% 0.9% 0.8% 0.7% 0.6% 3.0% 0.9% 3.2% 1.8%
Potency N/A 100.0% 94.7% 99.9% 100.0% 50.3% 94.0% 99.9% 57.3% 87.0%
Notes: Panel A shows the performance of the user algorithm written for Stata genspec, while panel B shows the benchmark
algorithm of Hoover and Perez (1999), who simulate using the same data (see their table 7 for original results). Results from each
panel are from 1,000 simulations with a 2-tail critical value of 1%. The DGP for each model is described in the data appendix of
this article, and each model includes a constant that is ignored when calculating the gauge and scope. Full code and simulation
results for replication are available at https://sites.google.com/site/damiancclarke/research.
The genspec algorithm in Stata
D. Clarke 905

5 Conclusion
Applied researchers are often faced with determining the appropriate set of independent
variables to include in an analysis when examining a given outcome variable. This
process of model selection can have important implications on the results of a given
research agenda, even when the research question and methodology have been set.
General-to-specific modeling offers a researcher a prescriptive, defendable, and data-
driven way to resolve this issue. Although this methodology has been drawn from a
considerable amount of econometric literature, nothing suggests that it should not be
used by all classes of researchers interested in regression analysis.
In this article, I introduce the genspec command to Stata. It shows that this com-
mand behaves as empirically expected and is successful in recovering the true model
when given a large set of potential variables to choose from. Such a modeling technique
offers important benefits to a range of users who are interested in identifying an un-
derlying model while remaining relatively agnostic or placing few restrictions on their
general theory.
The genspec command is flexible, allowing the user to choose from a wide array
of models using either time-series, panel, or cross-sectional data. I also discuss several
empirical considerations in developing such an algorithm, in particular, the nature of
the tests desired when examining the proposed general model and how to deal with
model selection when choosing between multiple models.

6 Acknowledgments
Financial support from the National Commission for Scientific and Technological Re-
search of the Government of Chile is gratefully acknowledged. I thank Bent Nielsen,
Marta Dormal, George Vega Yon, and Nicolas Van de Sijpe for useful comments at
various stages in the writing of this command and article. I also acknowledge H. Joseph
Newton and an anonymous Stata Journal referee for valuable comments and help. This
routine nests the xtserial command, which was written for Stata by David Drukker.
All remaining errors and omissions are my own.

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About the author

Damian Clarke is a DPhil. (PhD) student in the Department of Economics at the University
of Oxford.

A Data appendix
To test the performance of genspec, we use the benchmark performance of Hoover and
Perez (1999). They use data from the Citibank economic database with 18 macroe-
conomic variables over the period 1959 quarter 1 to 1995 quarter 1. These variables
include gross national product, M1, M2, labor force and unemployment rates, govern-
ment purchases, and so on. They difference these data to ensure that each series is
stationary.
In this article, we work with the same dataset after performing the same trans-
formations. From these 18 underlying macroeconomic variables (and their first lags),
Hoover and Perez (1999) generate artificial variables for consumption. Nine such mod-
els are generated with two different independent variables and their lags and the lags
of the dependent variable. In table 2, we briefly describe these models (as laid out in
table 3 of Hoover and Perez [1999]).
908 The genspec algorithm in Stata

Table 2. Models to test the performance of genspec

Model DGP

Model 1 y1t “ 130.0 ˆ ut

Model 2 y2t “ 130.0 ˆ u˚t
Model 3 lnpy3 qt “ 0.395 ˆ lnpy3 qt´1 ` 0.3995 ˆ lnpy3 qt´2 ` 0.00172 ˆ ut
Model 4 y4t “ 1.33 ˆ f m1dqt ` 9.73 ˆ ut
Model 5 y5t “ ´0.046 ˆ ggeqt ` 0.11 ˆ ut
Model 6 y6t “ 0.67 ˆ f m1dqt ´ 0.023 ˆ ggeqt ` 4.92 ˆ ut
Model 7 y7t “ 1.33 ˆ f m1dqt ` 9.73 ˆ ut
Model 8 y8t “ ´0.046 ˆ ggeqt ` 0.11u˚t
Model 9 y9t “ 0.67 ˆ f m1dqt ´ 0.023 ˆ ggeqt ` 4.92ut
Notes: The error terms follow ut „ N p0, 1q and u˚ ˚
t “ 0.75ut´1 ` ut
a
7{4. Models
involving the first-order autoregressive u˚
t can be rearranged to include only ut and one
lag of the dependent variable and any independent variables included in the model. The
independent variable f m1dqt refers to M1 money supply, and ggeqt refers to government
spending.

Each of these nine models results in one artificial consumption variable denomi-
nated ynt . These ynt variables are then used as the dependent variables for a GETS
model search, with 40 independent variables included as candidate variables. These 40
variables are each of the 18 macroeconomic variables in the Citibank economic dataset,
the first lags of these variables, and the first to fourth lags of the ynt variable in ques-
tion. The full-transformed dataset, including a simulated set of u and ynt variables, is
available at https://sites.google.com/site/damiancclarke/research.6

6. The untransformed original data are also available.