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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- Steven Fazzari & Bruce Petersen, 1990. "Investment smoothing with working capital: new evidence on the impact of financial constraints," Working Paper Series, Macroeconomic Issues 90-18, Federal Reserve Bank of Chicago.
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NBER Working Papers
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- Zellner, Arnold, 1978. "Jeffreys-Bayes posterior odds ratio and the Akaike information criterion for discriminating between models," Economics Letters, Elsevier, vol. 1(4), pages 337-342.
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