Improving On ‘Data Mining Reconsidered’ By K.D. Hoover And S.J. Perez  

Oleh:

Hendry, David F. ; Krolzig, Hans-Martin

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 2 no. 2 (1999), page 220-225.
Topik: Econometric methodology; Model selection; Encompassing; Data mining; Monte Carlo experiments; Money demand.
Fulltext: 202.pdf (132.42KB)

Isi artikel

Kevin Hoover and Stephen Perez take important steps towards resolving some key issues in econometric methodology. They simulate general-to-specific selection for linear, dynamic regression models, and find that their algorithm performs well in re-mining the ‘Lovell database’. We discuss developments that improve on their results, automated in PcGets. Monte Carlo experiments and re-analyses of empirical studies show that pre-selection F-tests, encompassing tests, and sub-sample reliability checks all help eliminate ‘spuriouslysignificant’ regressors, without impugning recovery of the correct specification.

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