Econometric modelling using automatic algorithms such as PcGets (Hendry and Krolzig, 2001) and Autometrics (Doornik, 2007) has recently become popular. This paper considers automatic model selection when there is non-linearity inherent in the process. The strategy uses a new test for nonlinearity, specifies the general model using polynomials if linearity is rejected, and undertakes a general-t...