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

Abstract: 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)
Date: 1999
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