Choice is suffering: A Focused Information Criterion for model selection

Peter Behl, Holger Dette, Manuel Frondel and Harald Tauchmann

Economic Modelling, 2012, vol. 29, issue 3, 817-822

Abstract: In contrast to conventional measures, the Focused Information Criterion (FIC) allows the purpose-specific selection of models, thereby reflecting the idea that one kind of model might be appropriate for inferences on a parameter of interest, but not for another. Ever since its invention, the FIC has been increasingly applied in the realm of statistics, but this concept appears to be virtually unknown in the economic literature. Using a straightforward analytical example, this paper provides for a didactic illustration of the FIC and demonstrates its usefulness in economic applications.

Keywords: Akaike Information Criterion; Schwarz Information Criterion; Translog cost function (search for similar items in EconPapers)
JEL-codes: C3 D2 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:29:y:2012:i:3:p:817-822

DOI: 10.1016/j.econmod.2011.09.002

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