A Predictive Approach to Model Selection and Multicollinearity
نویسندگان
چکیده
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. For several special cases these measures are shown to be related to widely used tools for studying model specification. Results for a set of simulated data and for two economic applications are presented as examples. Thanks to Professor Siddhartha Chib for comments. An earlier version of this paper was presented at the Midwest Econometrics Group meeting at Notre Dame in September 1991.
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تاریخ انتشار 1993