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Improving on 'Data mining reconsidered' by K.D. Hoover and S.J. Perez

Author

Listed:
  • DAVID F. HENDRY
  • HANS-MARTIN KROLZIG

Abstract

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.

Suggested Citation

  • David F. Hendry & Hans-Martin Krolzig, 1999. "Improving on 'Data mining reconsidered' by K.D. Hoover and S.J. Perez," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 202-219.
  • Handle: RePEc:ect:emjrnl:v:2:y:1999:i:2:p:202-219
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