A Predictive Approach to Model Selection and Multicollinearity
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.
Volume (Year): 12 (1997)
Issue (Month): 1 (Jan.-Feb.)
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