Data Mining With Local Model Specification Uncertainty: A Discussion Of Hoover And Perez  

Oleh:

Granger, Clive ; Timmermann, Allan

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 2 no. 2 (1999), page 226-240.
Topik: Specification search; General-to-specific.
Fulltext: 220.pdf (37.34KB)

Isi artikel

Hoover and Perez’s results show that the general-to-specific approach performs well if the search for a linear and stable model specification is conducted in a local neighborhood around the truth. However, non-linearities, outliers, parameter instability and the absence of even approximate knowledge of the true data generating process means that in practice this approach is unlikely to perform up to the standards reported in the papers.

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