S-values: Conventional context-minimal measures of the sturdiness of regression coefficients

Edward Leamer

Journal of Econometrics, 2016, vol. 193, issue 1, 147-161

Abstract: This paper proposes a context-minimal range of alternative regression models that is used to generate a range of alternative estimates. A prior distribution is assumed with a zero mean but an ambiguous covariance matrix. The choice of the prior covariance matrix is facilitated by transformation to standardized variables which makes the prior expected R2 equal to the sum of the prior variances. Three different ranges of the prior expected R2 are used to define three different intervals of prior covariance matrices which are used to produce three different sets of s-values.

Keywords: Model ambiguity; Regression; s-values (search for similar items in EconPapers)
JEL-codes: C11 C18 C20 C52 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:193:y:2016:i:1:p:147-161

DOI: 10.1016/j.jeconom.2015.10.013

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