Chapter

Modelling Issues

David F. Hendry

in Dynamic Econometrics

Published in print February 1995 | ISBN: 9780198283164
Published online November 2003 | e-ISBN: 9780191596384 | DOI: http://dx.doi.org/10.1093/0198283164.003.0015

Series: Advanced Texts in Econometrics

 Modelling Issues

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Data mining has three distinct meanings, but is detectable when it denotes ignoring, or camouflaging, conflicting evidence in a prejudiced search for an acceptable model. The twin dangers of excessive theory dependence and sample dependence are investigated, as are progressive research strategies to determine structure. Pyrrho's lemma reveals that any desired regression outcome can be obtained by adding one more regressor to any model. The properties of dummy variables, the impacts of seasonal adjustment on integrated–cointegrated data, the adequacy of approximating moving‐average processes by autoregressive schemes and models of second moments are investigated.

Keywords: data mining; progressive research strategy; Pyrrho's lemma; sample dependence; seasonal adjustment; second moments; theory dependence

Chapter.  17151 words.  Illustrated.

Subjects: Econometrics and Mathematical Economics

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