MODEL BUILDING AND DATA MINING

DOI10.1081/ETC-100103820MaRDI QIDQ4432535zbMATH OpenFDO

Authors

Publication date 27 October 2003

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/ETC-100103820

zbMATH Keywords

loss functionpre-test estimationspecification searchesStein-James estimator

Mathematics Subject Classification ID

Bayesian inference (62F15) Linear regression; mixed models (62J05) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to economics (62P20)

Recommendations

• Improving on ‘Data mining reconsidered’ by K.D. Hoover and S.J. Perez
• CHALLENGES FOR ECONOMETRIC MODEL SELECTION
• Discussion of ‘Data mining reconsidered’
• scientific article; zbMATH DE number 5258476
• THE CHOICE BETWEEN SETS OF REGRESSORS

Cites work

• A Distributed Lag Estimator Derived from Smoothness Priors
• A Hybrid Problem on the Exponential Family
• A Note on Conservative Confidence Regions for the Mean of a Multivariate Normal
• A Test of the Mean Square Error Criterion for Restrictions in Linear Regression
• Confidence Intervals for the Means of Dependent, Normally Distributed Variables
• Generalized Inverses, Ridge Regression, Biased Linear Estimation, and Nonlinear Estimation
• scientific article; zbMATH DE number 3288335 (Why is no real title available?)
• scientific article; zbMATH DE number 3366405 (Why is no real title available?)
• Improved Estimators for Coefficients in Linear Regression
• Minimax Regret Significance Points for a Preliminary Test in Regression Analysis
• Non-Optimality of Preliminary-Test Estimators for the Mean of a Multivariate Normal Distribution
• On Biases in Estimation Due to the Use of Preliminary Tests of Significance

Cited in

(9)

• Non-asymptotic tests of model performance
• Data science and the art of modelling
• Improving on ‘Data mining reconsidered’ by K.D. Hoover and S.J. Perez
• Constructive data mining: modeling consumers' expenditurein Venezuela
• IN MEMORY OF JOHN DENIS SARGAN
• J. DENIS SARGAN AND THE ORIGINS OF LSE ECONOMETRIC METHODOLOGY
• A time-series bootstrapping simulation method to distinguish sell-side analysts' skill from luck
• MODEL DISCOVERY AND TRYGVE HAAVELMO’S LEGACY
• Dangers of data mining: The case of calendar effects in stock returns

This page was built for publication: MODEL BUILDING AND DATA MINING

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4432535)