Economics at your fingertips  


Bruce Hansen ()

Econometric Theory, 2005, vol. 21, issue 1, 60-68

Abstract: Standard econometric model selection methods are based on four conceptual errors: parametric vision, the assumption of a true data generating process, evaluation based on fit, and ignoring the impact of model uncertainty on inference. Instead, econometric model selection methods should be based on a semiparametric vision, models should be viewed as approximations, models should be evaluated based on their purpose, and model uncertainty should be incorporated into inference methods. These problems have been examined individually but not jointly, and my view is that future research into econometric model selection should attempt to address all four issues.This research was supported by the National Science Foundation. I thank Peter Phillips and a referee for helpful comments that greatly improved the arguments and exposition.

Date: 2005
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (56) Track citations by RSS feed

Downloads: (external link) ... type/journal_article link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Kirk Stebbing ().

Page updated 2023-03-26
Handle: RePEc:cup:etheor:v:21:y:2005:i:01:p:60-68_05