Data mining reconsidered : encompassing and the general-to-specific approach to specification search

@inproceedings{Hoover2000DataMR,
  title={Data mining reconsidered : encompassing and the general-to-specific approach to specification search},
  author={Kevin D. Hoover and Stephen J. Perez},
  year={2000}
}
This paper examines the efficacy of the general-to-specific modeling approach associated with the LSE school of econometrics using a simulation framework. A mechanical algorithm is developed which mimics some aspects of the search procedures used by LSE practitioners. The algorithm is tested using 1000 replications of each of nine regression models and a… CONTINUE READING

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