Improving on 'Data mining reconsidered' by K.D. Hoover and S.J. Perez
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 checks all help eliminate ?spuriously-significant? regressors, without impugning recovery of the correct specification.
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Volume (Year): 2 (1999)
Issue (Month): 2 ()
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