On determining the importance of a regressor with small and undersized samples
AbstractA problem encountered in, for instance, growth empirics is that the number of explanatory variables is large compared to the number of observations. This makes it infeasible to condition on all variables in order to determine the importance of a variable of interest. We prove identifying assumptions under which the problem is not ill-posed. Under these assumptions, we derive properties of the most commonly used methods: Extreme bounds analysis, Sala-i-Martin’s method, BACE, generalto- specific, minimum t-statistics, BIC and AIC. We propose a new method and show that it has good finite sample properties.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by School of Economics and Management, University of Aarhus in its series Economics Working Papers with number 2006-08.
Date of creation: 14 Jul 2006
Date of revision:
Contact details of provider:
Web page: http://www.econ.au.dk/afn/
AIC; BACE; BIC; extreme bounds analysis; general-to-specific; identification; ill-posed inverse problem; robustness; sensitivity analysis;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
This paper has been announced in the following NEP Reports:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Kevin D. Hoover & Stephen J. Perez, .
"Truth and Robustness in Cross-country Growth Regressions,"
Department of Economics
01-01, California Davis - Department of Economics.
- Kevin D. Hoover & Stephen J. Perez, 2004. "Truth and Robustness in Cross-country Growth Regressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(5), pages 765-798, December.
- Kevin Hoover & Harris Dellas, 2003. "Truth and Robustness in Cross-country Growth Regressions," Working Papers 11, University of California, Davis, Department of Economics.
- Carmen Fernandez & Eduardo Ley & Mark F.J. Steel, 1998.
"Benchmark Priors for Bayesian Model Averaging,"
9804001, EconWPA, revised 31 Jul 1999.
- McAleer, Michael, 1994. " Sherlock Holmes and the Search for Truth: A Diagnostic Tale," Journal of Economic Surveys, Wiley Blackwell, vol. 8(4), pages 317-70, December.
- Granger, Clive W. J. & Uhlig, Harald F., 1990.
"Reasonable extreme-bounds analysis,"
Journal of Econometrics,
Elsevier, vol. 44(1-2), pages 159-170.
- Clive W. J. Granger & Harald F. Uhlig, 1988. "Reasonable extreme bounds analysis," Discussion Paper / Institute for Empirical Macroeconomics 2, Federal Reserve Bank of Minneapolis.
- Tom Doan, . "EBA: RATS procedure to perform Extreme Bounds Analysis," Statistical Software Components RTS00059, Boston College Department of Economics.
- Durlauf, Steven N. & Johnson, Paul A. & Temple, Jonathan R.W., 2005.
Handbook of Economic Growth,
in: Philippe Aghion & Steven Durlauf (ed.), Handbook of Economic Growth, edition 1, volume 1, chapter 8, pages 555-677
- Durlauf,S.N. & Johnson,P.A. & Temple,J.R.W., 2004. "Growth econometrics," Working papers 18, Wisconsin Madison - Social Systems.
- Johnson, Paul & Durlauf, Steven N & Temple, Johnathan R. W., 2004. "Growth Econometrics," Vassar College Department of Economics Working Paper Series 61, Vassar College Department of Economics.
- Leamer, Edward E, 1983.
"Let's Take the Con Out of Econometrics,"
American Economic Review,
American Economic Association, vol. 73(1), pages 31-43, March.
- Carrasco, Marine & Florens, Jean-Pierre & Renault, Eric, 2007. "Linear Inverse Problems in Structural Econometrics Estimation Based on Spectral Decomposition and Regularization," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 77 Elsevier.
- Philip Cross & Charles F. Manski, 2000.
"Regressions, Short and Long,"
Econometric Society World Congress 2000 Contributed Papers
0385, Econometric Society.
- Breusch, Trevor S, 1986. "Hypothesis Testing in Unidentified Models," Review of Economic Studies, Wiley Blackwell, vol. 53(4), pages 635-51, August.
- Durlauf, Steven N., 2001. "Manifesto for a growth econometrics," Journal of Econometrics, Elsevier, vol. 100(1), pages 65-69, January.
- Levine, Ross & Renelt, David, 1992.
"A Sensitivity Analysis of Cross-Country Growth Regressions,"
American Economic Review,
American Economic Association, vol. 82(4), pages 942-63, September.
- Levine, Ross & Renelt, David, 1991. "A sensitivity analysis of cross-country growth regressions," Policy Research Working Paper Series 609, The World Bank.
- David F. Hendry & Hans-Martin Krolzig, 2004.
"We Ran One Regression,"
2004-W17, Economics Group, Nuffield College, University of Oxford.
- McAleer, Michael & Pagan, Adrian, 1985.
"What Will Take the Con Out of Econometrics?,"
CEPR Discussion Papers
39, C.E.P.R. Discussion Papers.
- Stock J.H. & Watson M.W., 2002. "Forecasting Using Principal Components From a Large Number of Predictors," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 1167-1179, December.
- Bleaney, Michael & Nishiyama, Akira, 2002. " Explaining Growth: A Contest between Models," Journal of Economic Growth, Springer, vol. 7(1), pages 43-56, March.
- Bruce E. Hansen, 1999. "Discussion of 'Data mining reconsidered'," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 192-201.
- Xavier Sala-i-Martin, 1997.
"I just ran four million regressions,"
Economics Working Papers
201, Department of Economics and Business, Universitat Pompeu Fabra.
- Halbert White, 2000. "A Reality Check for Data Snooping," Econometrica, Econometric Society, vol. 68(5), pages 1097-1126, September.
- Peter Jensen, 2010. "Testing the null of a low dimensional growth model," Empirical Economics, Springer, vol. 38(1), pages 193-215, February.
- Capolupo, Rosa, 2009.
"The New Growth Theories and Their Empirics after Twenty Years,"
Economics - The Open-Access, Open-Assessment E-Journal,
Kiel Institute for the World Economy, vol. 3(1), pages 1-72.
- Capolupo, Rosa, 2008. "The New Growth Theories and Their Empirics after Twenty Years," Economics Discussion Papers 2008-27, Kiel Institute for the World Economy.
- Anatolyev, Stanislav, 2012.
"Inference in regression models with many regressors,"
Journal of Econometrics,
Elsevier, vol. 170(2), pages 368-382.
- Stanislav Anatolyev, 2009. "Inference in Regression Models with Many Regressors," Working Papers w0125, Center for Economic and Financial Research (CEFIR).
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.