Choice is Suffering: A Focused Information Criterion for Model Selection

Peter Behl, Holger Dette, Manuel Frondel and Harald Tauchmann

No 250, Ruhr Economic Papers from RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen

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 shows 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: 2011
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Journal Article: Choice is suffering: A Focused Information Criterion for model selection (2012)
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