✦ LIBER ✦

A PREDICTIVE APPROACH TO MODEL SELECTION AND MULTICOLLINEARITY

✍ Scribed by EDWARD GREENBERG; ROBERT P. PARKS

Publisher: John Wiley and Sons
Year: 1997
Tongue: English
Weight: 159 KB
Volume: 12
Category: Article
ISSN: 0883-7252
DOI: 10.1002/(sici)1099-1255(199701)12:1<67::aid-jae427>3.0.co;2-w

No coin nor oath required. For personal study only.

✦ Synopsis

We argue for the adoption of a predictive approach to model speci®cation. Speci®cally, we derive the dierence between means and the ratio of determinants of covariance matrices when a subset of explanatory variables is included or excluded from a regression. Results for an economic application are presented as an example.

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