Bootstrapping the Process of Model Selection: An Econometric Example

Michael Veall

Journal of Applied Econometrics, 1992, vol. 7, issue 1, 93-99

Abstract: If a researcher has mined the data (i.e. selected an empirical model based on a series of trial estimates), inferences based on the final set of results are in general incorrect. This note treats the entire data mining process as an estimator and shows how a bootstrapping technique may improve the quality of inference. The method is applied to an empirical example on the deterrent effects of capital punishment. Copyright 1992 by John Wiley & Sons, Ltd.

Date: 1992
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