Discussion of 'Data mining reconsidered'
AbstractThe Hoover?Perez description of the LSE [London School of Economics] general-to-specific methodology of model selection is formalized and analysed using the the-ory of model selection. Numerical evidence is provided to justify the claim that simple and elegant information criteria (which are easy to implement in applications) work at least as well, if not better, than the complicated algorithm attributed to the LSE methodology.
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Bibliographic InfoArticle provided by Royal Economic Society in its journal The Econometrics Journal.
Volume (Year): 2 (1999)
Issue (Month): 2 ()
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- David Hendry & Hans-Martin Krolzig, 2003.
"The Properties of Automatic Gets Modelling,"
2003-W14, Economics Group, Nuffield College, University of Oxford.
- Hendry, David F & Hans-Martin Krolzig, 2003. "The Properties of Automatic Gets Modelling," Royal Economic Society Annual Conference 2003 105, Royal Economic Society.
- David Hendry & Hans-Martin Krolzig, 2003. "The Properties of Automatic Gets Modelling," Economics Series Working Papers 2003-W14, University of Oxford, Department of Economics.
- Todd E. Clark, 2000.
"Can out-of-sample forecast comparisons help prevent overfitting?,"
Research Working Paper
RWP 00-05, Federal Reserve Bank of Kansas City.
- Todd E. Clark, 2004. "Can out-of-sample forecast comparisons help prevent overfitting?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(2), pages 115-139.
- Peter Sandholt Jensen & Allan H. Würtz, 2006. "On determining the importance of a regressor with small and undersized samples," Economics Working Papers 2006-08, School of Economics and Management, University of Aarhus.
- Peter-Jan Engelen, 2006. "Difficulties in the criminal prosecution of insider tradingâ€”A clinical study of the Bekaert case," European Journal of Law and Economics, Springer, vol. 22(2), pages 121-141, September.
- Dora Borbély & Carsten-Patrick Meier, 2003. "Macroeconomic Interval Forecasting: The Case of Assessing the Risk of Deflation in Germany," Kiel Working Papers 1153, Kiel Institute for the World Economy.
- Godfrey, L.G. & Tremayne, A.R., 2005. "The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 377-395, April.
- Joachim Benner & Carsten-Patrick Meier, 2003. "Prognosegüte alternativer Frühindikatoren für die Konjunktur in Deutschland," Kiel Working Papers 1139, Kiel Institute for the World Economy.
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