Data mining with local model specification uncertainty: a discussion of Hoover and Perez

Clive Granger and Allan Timmermann

Econometrics Journal, 1999, vol. 2, issue 2, 220-225

Abstract: 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.

Keywords: Specification search; General-to-specific. (search for similar items in EconPapers)
Date: 1999
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