A Brief History of General-to-specific Modelling*

We review key stages in the development of general-to-specific modelling (Gets). Selecting a simplified model from a more general specification was initially implemented manually, then through computer programs to its present automated machine learning role to discover a viable empirical model. Throughout, Gets applications faced many criticisms, especially from accusations of ‘data mining’—no longer pejorative—with other criticisms based on misunderstandings of the methodology, all now rebutted. A prior theoretical formulation can be retained unaltered while searching over more variables than the available sample size from non-stationary data to select congruent, encompassing relations with invariant parameters on valid conditioning variables.