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Improving on 'Data Mining Reconsidered' by K. D. Hoover and S. J. Perez.

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 ch...

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DOI: 10.1111/1368-423X.00027

Authors


David F Hendry More by this author
Hans Martin Krolzig More by this author
Journal:
Econometrics Journal
Volume:
2
Issue:
2
Publication date:
1999
DOI:
URN:
uuid:1f18c1ec-a19a-4ead-bc33-a705f5500616
Local pid:
oai:economics.ouls.ox.ac.uk:10454
Language:
English

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