- 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...
Expand abstract - 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
- Copyright date:
- 1999
Journal article
Improving on 'Data Mining Reconsidered' by K. D. Hoover and S. J. Perez.
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