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Econometric Model Selection - A New Approach (Paperback, Softcover reprint of hardcover 1st ed. 1989)
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Econometric Model Selection - A New Approach (Paperback, Softcover reprint of hardcover 1st ed. 1989)
Series: Advanced Studies in Theoretical and Applied Econometrics, 16
Expected to ship within 10 - 15 working days
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This book proposes a new methodology for the selection of one
(model) from among a set of alternative econometric models. Let us
recall that a model is an abstract representation of reality which
brings out what is relevant to a particular economic issue. An
econometric model is also an analytical characterization of the
joint probability distribution of some random variables of
interest, which yields some information on how the actual economy
works. This information will be useful only if it is accurate and
precise; that is, the information must be far from ambiguous and
close to what we observe in the real world Thus, model selection
should be performed on the basis of statistics which summarize the
degree of accuracy and precision of each model. A model is accurate
if it predicts right; it is precise if it produces tight confidence
intervals. A first general approach to model selection includes
those procedures based on both characteristics, precision and
accuracy. A particularly interesting example of this approach is
that of Hildebrand, Laing and Rosenthal (1980). See also Hendry and
Richard (1982). A second general approach includes those procedures
that use only one of the two dimensions to discriminate among
models. In general, most of the tests we are going to examine
correspond to this category.
General
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