Jump to ContentJump to Main Navigation
Empirical Model Discovery and Theory EvaluationAutomatic Selection Methods in Econometrics$
Users without a subscription are not able to see the full content.

David F. Hendry and Jurgen A. Doornik

Print publication date: 2014

Print ISBN-13: 9780262028356

Published to MIT Press Scholarship Online: January 2015

DOI: 10.7551/mitpress/9780262028356.001.0001

Show Summary Details
Page of

PRINTED FROM MIT PRESS SCHOLARSHIP ONLINE (www.mitpress.universitypressscholarship.com). (c) Copyright The MIT Press, 2020. All Rights Reserved. An individual user may print out a PDF of a single chapter of a monograph in MITSO for personal use.date: 29 May 2020

Selecting a Model in One Decision

Selecting a Model in One Decision

Chapter:
(p.117) 8 Selecting a Model in One Decision
Source:
Empirical Model Discovery and Theory Evaluation
Author(s):

David F. Hendry

Publisher:
The MIT Press
DOI:10.7551/mitpress/9780262028356.003.0008

We now consider the special case in which a congruent, constant regression model in mutually orthogonal, valid conditioning variables can be successfully selected in one decision using the criteria discussed in chapter 5. This establishes a baseline, which demonstrates that the false null retention rate can be controlled, and that repeated testing is not an intrinsic aspect of model selection, even if there are 10300 possible models, as occurs here when N = 1000. Goodness-of-fit estimates, mean squared errors, and the consistency of the selection are all discussed. However, the estimates from the selected model do not have the same properties as if the DGP equation had been estimated directly, so chapter 10 develops bias corrections, after chapter 9 considers the 2-variable case in more detail.

Keywords:   1-cut selection, Gauge, Potency, Monte Carlo simulation, selection bias corrections

MIT Press Scholarship Online requires a subscription or purchase to access the full text of books within the service. Public users can however freely search the site and view the abstracts and keywords for each book and chapter.

Please, subscribe or login to access full text content.

If you think you should have access to this title, please contact your librarian.

To troubleshoot, please check our FAQs, and if you can't find the answer there, please contact us.