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Constructive data mining: modeling consumers' expenditure in Venezuela

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  • Julia Campos
  • Neil R. Ericsson

Abstract

Hoover and Perez (1999) advocate a constructive approach to data mining. The current paper identifies four pejorative senses of data mining and shows how Hoover and Perez's approach counters each. To assess the benefits of constructive data mining, the current paper applies a data-mining algorithm similar to Hoover and Perez's to a dataset for Venezuelan consumers' expenditure. The selected model is economically sensible and statistically satisfactory; and it illustrates how data can be highly informative, even with relatively few observations. Limitations to algorithmically based data mining provide opportunities for the researcher to contribute value added in the empirical analysis.

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Bibliographic Info

Paper provided by Board of Governors of the Federal Reserve System (U.S.) in its series International Finance Discussion Papers with number 663.

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Date of creation: 2000
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Handle: RePEc:fip:fedgif:663

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Keywords: Consumption (Economics) ; Venezuela;

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  1. Denton, Frank T, 1985. "Data Mining as an Industry," The Review of Economics and Statistics, MIT Press, vol. 67(1), pages 124-27, February.
  2. Halbert White, 2000. "A Reality Check for Data Snooping," Econometrica, Econometric Society, vol. 68(5), pages 1097-1126, September.
  3. Kevin D. Hoover & Stephen J. Perez, 1999. "Data mining reconsidered: encompassing and the general-to-specific approach to specification search," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 167-191.
  4. Neil R. Ericsson & Julia Campos & Hong-Anh Tran, 1991. "PC-give and David Hendry's econometric methodology," International Finance Discussion Papers 406, Board of Governors of the Federal Reserve System (U.S.).
  5. Julia Campos & Neil R. Ericsson, 1988. "Econometric modeling of consumers' expenditure in Venezuela," International Finance Discussion Papers 325, Board of Governors of the Federal Reserve System (U.S.).
  6. David F. Hendry & Neil R. Ericsson, 1999. "Encompassing and rational expectations: How sequential corroboration can imply refutation," Empirical Economics, Springer, vol. 24(1), pages 1-21.
  7. Cochrane, John H, 1989. "The Sensitivity of Tests of the Intertemporal Allocation of Consumption to Near-Rational Alternatives," American Economic Review, American Economic Association, vol. 79(3), pages 319-37, June.
  8. Lovell, Michael C, 1983. "Data Mining," The Review of Economics and Statistics, MIT Press, vol. 65(1), pages 1-12, February.
  9. J. Denis Sargan, 2001. "The Choice Between Sets Of Regressors," Econometric Reviews, Taylor & Francis Journals, vol. 20(2), pages 171-186.
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Citations

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Cited by:
  1. Barkbu,B.B. & Nymoen,R. & Roed,K., 2001. "Wage coordination and unemployment dynamics in Norway and Sweden," Memorandum 11/2001, Oslo University, Department of Economics.
  2. 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.
  3. Doppelhofer, G. & Weeks, M., 2005. "Jointness of Growth Determinants," Cambridge Working Papers in Economics 0542, Faculty of Economics, University of Cambridge.
  4. Julia Campos & Neil R. Ericsson & David F. Hendry, 2005. "General-to-specific modeling: an overview and selected bibliography," International Finance Discussion Papers 838, Board of Governors of the Federal Reserve System (U.S.).
  5. Morris A. Davis & Michael G. Palumbo, 2001. "A primer on the economics and time series econometrics of wealth effects," Finance and Economics Discussion Series 2001-09, Board of Governors of the Federal Reserve System (U.S.).
  6. Ricardo Bebczuk & Maria Lorena Garegnani, 2012. "Real State as Housing and as Financial Investment: A First Assessment for Argentina," Department of Economics, Working Papers 095, Departamento de Economía, Facultad de Ciencias Económicas, Universidad Nacional de La Plata.
  7. Neil R. Ericsson & Esfandiar Maasoumi & Grayham E. Mizon, 2001. "A retrospective on J. Denis Sargan and his contributions to econometrics," International Finance Discussion Papers 700, Board of Governors of the Federal Reserve System (U.S.).
  8. Gernot Doppelhofer & Xavier Sala I Martin & Melvyn Weeks, 2005. "Jointness of Determinants of Economics Growth," Money Macro and Finance (MMF) Research Group Conference 2005 54, Money Macro and Finance Research Group.
  9. Neil R. Ericsson & Steven B. Kamin, 2008. "Constructive data mining: modeling Argentine broad money demand," International Finance Discussion Papers 943, Board of Governors of the Federal Reserve System (U.S.).
  10. Claudio Paiva, 2006. "External Adjustment and Equilibrium Exchange Rate in Brazil," IMF Working Papers 06/221, International Monetary Fund.

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