Estimating the effect of a variable in a high-dimensional regression model
AbstractA problem encountered in some empirical research, e.g. growth empirics, is that the potential 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 whether a particular variable has an effect. We assume that the effect is identified in a high-dimensional linear model specified by unconditional moment restrictions. We consider properties of the following methods, which rely on lowdimensional models to infer the effect: Extreme bounds analysis, the minimum t-statistic over models, Sala-i-Martin’s method, BACE, BIC, AIC and general-tospecific. We propose a new method and show that it is well behaved compared to existing methods.
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Bibliographic InfoPaper provided by School of Economics and Management, University of Aarhus in its series CREATES Research Papers with number 2010-73.
Date of creation: 24 Nov 2010
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Web page: http://www.econ.au.dk/afn/
AIC; BACE; BIC; extreme bounds analysis; general-to-specific; 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
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- Xavier Sala-I-Martin & Gernot Doppelhofer & Ronald I. Miller, 2004.
"Determinants of Long-Term Growth: A Bayesian Averaging of Classical Estimates (BACE) Approach,"
American Economic Review,
American Economic Association, vol. 94(4), pages 813-835, September.
- Gernot Doppelhofer & Ronald I. Miller & Xavier Sala-i-Martin, 2000. "Determinants of Long-Term Growth: A Bayesian Averaging of Classical Estimates (BACE) Approach," NBER Working Papers 7750, National Bureau of Economic Research, Inc.
- Gernot Doppelhofer & Ronald I. Miller & Xavier Sala-i-Martin, 2000. "Determinants of Long-Term Growth: A Bayesian Averaging of Classical Estimates (Bace) Approach," OECD Economics Department Working Papers 266, OECD Publishing.
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