Being Focused: When the Purpose of Inference Matters for Model Selection
AbstractIn contrast to conventional model selection criteria, the Focused Information Criterion (FIC) allows for purpose-specifi c choice of models. This accommodates the idea that one kind of model might be highly appropriate for inferences on a particular parameter, but not for another. Ever since its development, the FIC has been increasingly applied in the realm of statistics, but this concept appears to be virtually unknown in the economic literature. Using a classical example and data for 35 U.S. industry sectors (1960–2005), this paper provides for an illustration of the FIC and a demonstration of its usefulness in empirical applications.
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Bibliographic InfoPaper provided by Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen in its series Ruhr Economic Papers with number 0264.
Length: 22 pages
Date of creation: Jun 2011
Date of revision:
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- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- D2 - Microeconomics - - Production and Organizations
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