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A Predictive Approach to Model Selection and Multicollinearity

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  • Greenberg, Edward
  • Parks, Robert P

Abstract

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.

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File URL: http://qed.econ.queensu.ca:80/jae/1997-v12.1/
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Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 12 (1997)
Issue (Month): 1 (Jan.-Feb.)
Pages: 67-75

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Handle: RePEc:jae:japmet:v:12:y:1997:i:1:p:67-75

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  1. Steven M. Fazzari & R. Glenn Hubbard & BRUCE C. PETERSEN, 1988. "Financing Constraints and Corporate Investment," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 19(1), pages 141-206.
  2. Steven Fazzari & Bruce Petersen, 1990. "Investment smoothing with working capital: new evidence on the impact of financial constraints," Working Paper Series, Macroeconomic Issues 90-18, Federal Reserve Bank of Chicago.
  3. Zellner, Arnold, 1981. "Posterior odds ratios for regression hypotheses : General considerations and some specific results," Journal of Econometrics, Elsevier, vol. 16(1), pages 151-152, May.
  4. Cooley, Thomas F & LeRoy, Stephen F, 1981. "Identification and Estimation of Money Demand," American Economic Review, American Economic Association, vol. 71(5), pages 825-44, December.
  5. Zellner, Arnold, 1978. "Jeffreys-Bayes posterior odds ratio and the Akaike information criterion for discriminating between models," Economics Letters, Elsevier, vol. 1(4), pages 337-342.
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Cited by:
  1. Panaretos, John & Psarakis, Stelios & Xekalaki, Evdokia & Karlis, Dimitris, 2005. "The Correlated Gamma-Ratio Distribution in Model Evaluation and Selection," MPRA Paper 6355, University Library of Munich, Germany.

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