A Predictive Approach to Model Selection and Multicollinearity

Edward Greenberg and Robert Parks

Econometrics from University Library of Munich, Germany

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. For several special cases these measures are shown to be related to widely used tools for studying model specification. Results for a set of simulated data and for two economic applications are presented as examples.

JEL-codes: C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Pages: 30 pages
Date: 1993-08-05
Note: Latex document, 30 pages (22 without figures)
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Citations: View citations in EconPapers (3)

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Related works:
Journal Article: A Predictive Approach to Model Selection and Multicollinearity (1997)
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpem:9308001

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