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Modelling non-stationary 'Big data'

Abstract:

Seeking substantive relationships among vast numbers of spurious connections when modelling Big Data requires an appropriate approach. Big Data are useful if they can increase the probability that the data generation process is nested in the postulated model, increase the power of specification and mis-specification tests, and yet do not raise the chances of adventitious significance. Simply choosing the best-fitting equation or trying hundreds of empirical fits and selecting a preferred one&...

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Publication status:
Published

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  • (Version of record, 609.2KB)
Publisher:
University of Oxford
Series:
Department of Economics Discussion Paper Series
Publication date:
2020-04-15
Paper number:
905
Keywords:
Pubs id:
1143483
Local pid:
pubs:1143483
Deposit date:
2020-12-14

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