Discussion of 'Data mining reconsidered'

The Hoover?Perez description of the LSE [London School of Economics] general-to-specific methodology of model selection is formalized and analysed using the the-ory of model selection. Numerical evidence is provided to justify the claim that simple and elegant information criteria (which are easy to implement in applications) work at least as well, if not better, than the complicated algorithm attributed to the LSE methodology.

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Year of publication:	1999
Authors:	HANSEN, BRUCE E.
Published in:	Econometrics Journal. - Royal Economic Society - RES. - Vol. 2.1999, 2, p. 192-201
Publisher:	Royal Economic Society - RES
Subject:	General-to-specific \| Encompassing \| Data mining \| LSE econometrics. BIC \| Model selection \| Forecast error

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

Persistent link: https://www.econbiz.de/10005100067