Improving on 'Data mining reconsidered' by K.D. Hoover and S.J. Perez
David Hendry () and
Hans-Martin Krolzig ()
Econometrics Journal, 1999, vol. 2, issue 2, 202-219
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 ?spuriously-significant? regressors, without impugning recovery of the correct specification.
Keywords: Econometric methodology; Model selection; Encompassing; Data mining; Monte Carlo experiments; Money demand. (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:ect:emjrnl:v:2:y:1999:i:2:p:202-219
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