A Predictive Approach to Model Selection and Multicollinearity

Edward Greenberg and Robert Parks

Journal of Applied Econometrics, 1997, vol. 12, issue 1, 67-75

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.

Date: 1997
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Working Paper: A Predictive Approach to Model Selection and Multicollinearity (1993)
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