<b> </b> For situations with a large number of series, N, each with T observations and each containing a certain amount of information for prediction of the variable of interest, we propose a new statistical modelling methodology that first estimates the common factors from a panel of data using...

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...

Hoover and Perez (1999) advocate a constructive approach to data mining. The current paper identifies four pejorative senses of data mining and shows how Hoover and Perez?s approach counters each. To assess the benefits of constructive data mining, the current paper applies a data-mining...

This paper proposes a tripartite framework of design, evaluation, and post-evaluation analysis for generating and interpreting economic forecasts. This framework?s value is illustrated by re-examining mean square forecast errors from dynamic models and nonlinearity biases from empirical...

This paper provides densities and finite sample critical values for the single-equation error correction statistic for testing cointegration. Graphs and response surfaces summarize extensive Monte Carlo simulations and highlight simple dependencies of the statistic's quantiles on the number of...