A PREDICTIVE APPROACH TO MODEL SELECTION AND MULTICOLLINEARITY

Authors
GREENBERG E PARKS RP
Citation
E. Greenberg et Rp. Parks, A PREDICTIVE APPROACH TO MODEL SELECTION AND MULTICOLLINEARITY, Journal of applied econometrics, 12(1), 1997, pp. 67-75
Citations number
12
Categorie Soggetti
Economics,"Social Sciences, Mathematical Methods
Journal title
Journal of applied econometrics → ACNP
ISSN journal
08837252
Volume
12
Issue
1
Year of publication
1997
Pages
67 - 75
Database
ISI
SICI code
0883-7252(1997)12:1<67:APATMS>2.0.ZU;2-5
Abstract
We argue for the adoption of a predictive approach to model specificat ion. Specifically, we derive the difference between means and the rati o of determinants of covariance matrices when a subset of explanatory variables is included or excluded from a regression. Results for an ec onomic application are presented as an example. (C) 1997 by John Wiley & Sons, Ltd.