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

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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Year of publication:	1999
Authors:	GRANGER, CLIVE ; TIMMERMANN, ALLAN
Published in:	Econometrics Journal. - Royal Economic Society - RES. - Vol. 2.1999, 2, p. 220-225
Publisher:	Royal Economic Society - RES
Subject:	Specification search \| General-to-specific

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005607105