Discussion of 'Data mining reconsidered'

Bruce Hansen ()

Econometrics Journal, 1999, vol. 2, issue 2, 192-201

Abstract: The Hoover?Perez description of the LSE [London School of Economics] general-to-specific methodology of model selection is formalized and analysed using the the-ory of model selection. Numerical evidence is provided to justify the claim that simple and elegant information criteria (which are easy to implement in applications) work at least as well, if not better, than the complicated algorithm attributed to the LSE methodology.

Keywords: General-to-specific; Encompassing; Data mining; LSE econometrics. BIC; Model selection; Forecast error. (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:ect:emjrnl:v:2:y:1999:i:2:p:192-201

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