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Model Building And Data Mining

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  • J. Denis Sargan

Abstract

This paper defines the phenomenon of data mining in econometrics and discusses various outcomes of and solutions to data mining. Both classical and Bayesian approaches are considered, each with notable advantages and disadvantages, and with the choice of loss function affecting critical values. Illustrative examples include variable addition and exclusion in a standard linear regression model, the choice of lag structure in a dynamic single equation, and specification in a simultaneous equations model.

Suggested Citation

  • J. Denis Sargan, 2001. "Model Building And Data Mining," Econometric Reviews, Taylor & Francis Journals, vol. 20(2), pages 159-170.
    • Handle: RePEc:taf:emetrv:v:20:y:2001:i:2:p:159-170
    DOI: 10.1081/ETC-100103820
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    References listed on IDEAS

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    1. Ronald L. Cooper, 1972. "The Predictive Performance of Quarterly Econometric Models of the United States," NBER Chapters, in: Econometric Models of Cyclical Behavior, Volumes 1 and 2, pages 813-947, National Bureau of Economic Research, Inc.
    2. Zellner, Arnold, 1985. "Bayesian Econometrics," Econometrica, Econometric Society, vol. 53(2), pages 253-269, March.
    3. Judge, G G & Bock, M E & Yancey, T A, 1974. "Post Data Model Evaluation," The Review of Economics and Statistics, MIT Press, vol. 56(2), pages 245-253, May.
    4. Shiller, Robert J, 1973. "A Distributed Lag Estimator Derived from Smoothness Priors," Econometrica, Econometric Society, vol. 41(4), pages 775-788, July.
    5. Sawa, Takamitsu & Hiromatsu, Takeshi, 1973. "Minimax Regret Significance Points for a Preliminary Test in Regression Analysis," Econometrica, Econometric Society, vol. 41(6), pages 1093-1101, November.
    6. Wallace, T D & Ashar, V G, 1972. "Sequential Methods in Model Construction," The Review of Economics and Statistics, MIT Press, vol. 54(2), pages 172-178, May.
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    Cited by:

    1. David F. Hendry & Peter C.B. Phillips, 2017. "John Denis Sargan at the London School of Economics," Cowles Foundation Discussion Papers 2082, Cowles Foundation for Research in Economics, Yale University.

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    More about this item

    Keywords

    Bayes; Loss function; Pre-test estimation; Specification searches; Stein-James estimator; JEL Classification: C44; C51;
    All these keywords.

    JEL classification:

    • C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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