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Data mining with local model specification uncertainty: a discussion of Hoover and Perez

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Author Info

  • CLIVE GRANGER
  • ALLAN TIMMERMANN

Abstract

Hoover and Perez?s results show that the general-to-specific approach performs well if the search for a linear and stable model specification is conducted in a local neighborhood around the truth. However, non-linearities, outliers, parameter instability and the absence of even approximate knowledge of the true data generating process means that in practice this approach is unlikely to perform up to the standards reported in the papers.

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Bibliographic Info

Article provided by Royal Economic Society in its journal The Econometrics Journal.

Volume (Year): 2 (1999)
Issue (Month): 2 ()
Pages: 220-225

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Handle: RePEc:ect:emjrnl:v:2:y:1999:i:2:p:220-225

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Related research

Keywords: Specification search; General-to-specific.;

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Cited by:
  1. Teodosio Perez-Amaral & Giampiero M. Gallo & Halbert L. White, 2003. "A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)," Econometrics Working Papers Archive wp2003_04, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  2. Beenstock, Michael & Szpiro, George, 2002. "Specification search in nonlinear time-series models using the genetic algorithm," Journal of Economic Dynamics and Control, Elsevier, vol. 26(5), pages 811-835, May.
  3. BAUWENS, Luc & SUCARRAT, Genaro, 2006. "General to specific modelling of exchange rate volatility: a forecast evaluation," CORE Discussion Papers 2006021, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  4. Aiolfi, Marco & Favero, Carlo A, 2003. "Model Uncertainty, Thick Modelling and the Predictability of Stock Returns," CEPR Discussion Papers 3997, C.E.P.R. Discussion Papers.

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