The Choice Between Sets Of Regressors
AbstractThis paper examines the choice of critical values for testing both non-sequential and nested sequential sets of constraints in the standard linear regression model. Modest increases in (e.g.) t-ratio critical values relative to their one-off values are often sufficient to maintain proper size. A Bayesian decision-theoretic approach, highlighted by the Schwarz (1978) criterion, provides a framework for deriving consistency and asymptotic local power properties of both forms of testing (data mining) algorithms.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Econometric Reviews.
Volume (Year): 20 (2001)
Issue (Month): 2 ()
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Find related papers by JEL classification:
- JEL - Labor and Demographic Economics - - - - -
- Cla - Mathematical and Quantitative Methods - - - - -
- C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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- Phillips, Peter C.B., 2003.
"Vision And Influence In Econometrics: John Denis Sargan,"
Cambridge University Press, vol. 19(03), pages 495-511, June.
- Peter C.B. Phillips, 2003. "Vision and Influence in Econometrics: John Denis Sargan," Cowles Foundation Discussion Papers 1393, Cowles Foundation for Research in Economics, Yale University.
- Julia Campos & Neil R. Ericsson, 2000.
"Constructive data mining: modeling consumers' expenditure in Venezuela,"
International Finance Discussion Papers
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- Julia Campos & Neil R. Ericsson, 1999. "Contructive data mining: modeling consumers' expenditure in Venezuela," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 226-240.
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