Modelling a century and a half of UK macroeconomic data using general to specific methodology

Growth, structural change and evolution is endemic in any economy, and yet we require well‐specified, constant parameter econometric models of macro phenomena to understand economies, forecast and undertake policy analysis. This article draws on recent developments in econometric modelling, including general‐to‐specific modelling, non‐linearity testing and modelling, and outlier detection using indicator saturation, to propose a methodology in which constant parameter models can be built over long periods, yielding substantial insights into macroeconomic behaviour over a century and a half.