DATA MINING RECONSIDERED: ENCOMPASSING AND THE GENERAL-TO-SPECIFIC APPROACH TO SPECIFICATION SEARCH

Kevin Hoover () and Stephen J. Perez

Department of Economics from California Davis - Department of Economics

Abstract: The effectiveness of one aspect of the London School of Economics (LSE) approach to econometrics is assessed in a simulation study. The paper uses a data set and nine models analogous to those in Lovell's (1983) study of data mining. A simplified general-to-specific algorithm is tested in a simulation framework. While the study documents some of the pitfalls of the general-to-specific approach, it is, on the whole, supportive of the effectiveness of the LSE methodology as applied to stationary data with relatively simple dynamics. The general-to-specific methodology clearly dominates the alternative search methodologies investigated by Lovell.

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Related works:
Working Paper: DATA MINING RECONSIDERED: ENCOMPASSING AND THE GENERAL-TO-SPECIFIC APPROACH TO SPECIFICATION SEARCH (2003)
Journal Article: Data mining reconsidered: encompassing and the general-to-specific approach to specification search (1999)
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