Selection of regressors in econometrics: parametric and nonparametric methods selection of regressors in econometrics

Pascal Lavergne

Econometric Reviews, 1998, vol. 17, issue 3, 227-273

Abstract: The present paper addresses the selection-of-regressors issue into a general discrimination framework. We show how this framework is useful in unifying various procedures for selecting regressors and helpful in understanding the different strategies underlying these procedures. We review selection of regressors in linear, nonlinear and nonparametric regression models. In each case we successively consider model selection criteria and hypothesis testing procedures.

Keywords: Selection of regressors; Discrimination; JEL Classification: Primary C52: Secondary C20 (search for similar items in EconPapers)
Date: 1998
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Citations: View citations in EconPapers (4)

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DOI: 10.1080/07474939808800415

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