Analysis of Testing‐Based Forward Model Selection
نویسندگان
چکیده
منابع مشابه
Testing-Based Forward Model Selection
This paper defines and studies a variable selection procedure called Testing-Based Forward Model Selection. The procedure inductively selects covariates which increase predictive accuracy into a working statistical regression model until a stopping criterion is met. The stopping criteria and selection criteria are defined using statistical hypothesis tests. The paper explicitly describes a test...
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ژورنال
عنوان ژورنال: Econometrica
سال: 2020
ISSN: 0012-9682
DOI: 10.3982/ecta16273