Bootstrapping the Process of Model Selection: An Econometric Example.
If a researcher has mined the data (i.e. selected an empirical model based on a series of trial estimates), inferences based on the final set of results are in general incorrect. This note treats the entire data mining process as an estimator and shows how a bootstrapping technique may improve the quality of inference. The method is applied to an empirical example on the deterrent effects of capital punishment. Copyright 1992 by John Wiley & Sons, Ltd.
Year of publication: |
1992
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Authors: | Veall, Michael R |
Published in: |
Journal of Applied Econometrics. - John Wiley & Sons, Ltd.. - Vol. 7.1992, 1, p. 93-99
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Publisher: |
John Wiley & Sons, Ltd. |
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