A Predictive Approach to Model Selection and Multicollinearity.
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.
Year of publication: |
1997
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Authors: | Greenberg, Edward ; Parks, Robert P |
Published in: |
Journal of Applied Econometrics. - John Wiley & Sons, Ltd.. - Vol. 12.1997, 1, p. 67-75
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Publisher: |
John Wiley & Sons, Ltd. |
Saved in:
freely available
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