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A Predictive Approach to Model Selection and Multicollinearity
Edward Greenberg and
Robert Parks , 1997, vol. 12, issue 1, pages 67-75
Journal of Applied Econometrics Abstract:
We argue for the adoption of a predictive approach to model specification. Specifically, we derive the difference 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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