IDEAS home Printed from https://ideas.repec.org/a/jae/japmet/v12y1997i1p67-75.html

A Predictive Approach to Model Selection and Multicollinearity

Author

Listed:
  • Greenberg, Edward
  • Parks, Robert P

Abstract

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.

Suggested Citation

  • Greenberg, Edward & Parks, Robert P, 1997. "A Predictive Approach to Model Selection and Multicollinearity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(1), pages 67-75, Jan.-Feb..
    • Handle: RePEc:jae:japmet:v:12:y:1997:i:1:p:67-75
    as

    Download full text from publisher

    File URL: http://qed.econ.queensu.ca:80/jae/1997-v12.1/
    File Function: Supporting data files and programs
    Download Restriction: no
    ---><---

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Wijnen, Ben F.M. & Mosweu, Iris & Majoie, Marian H.J.M. & Ridsdale, Leone & de Kinderen, Reina J.A. & Evers, Silvia M.A.A. & McCrone, Paul, 2018. "A comparison of the responsiveness of EQ-5D-5L and the QOLIE-31P and mapping of QOLIE-31P to EQ-5D-5L in epilepsy," LSE Research Online Documents on Economics 106170, London School of Economics and Political Science, LSE Library.
    2. Ben F. M. Wijnen & Iris Mosweu & Marian H. J. M. Majoie & Leone Ridsdale & Reina J. A. Kinderen & Silvia M. A. A. Evers & Paul McCrone, 2018. "A comparison of the responsiveness of EQ-5D-5L and the QOLIE-31P and mapping of QOLIE-31P to EQ-5D-5L in epilepsy," The European Journal of Health Economics, Springer;Deutsche Gesellschaft für Gesundheitsökonomie (DGGÖ), vol. 19(6), pages 861-870, July.
    3. Panaretos, John & Psarakis, Stelios & Xekalaki, Evdokia & Karlis, Dimitris, 2005. "The Correlated Gamma-Ratio Distribution in Model Evaluation and Selection," MPRA Paper 6355, University Library of Munich, Germany.
    4. Sanchez-Ruiz, Paul & Maldonado-Bautista, Ileana & Rutherford, Matthew, 2018. "Business stressors, family-business identity, and divorce in family business: A vulnerability-stress-adaptation (VSA) model," Journal of Family Business Strategy, Elsevier, vol. 9(3), pages 167-179.
    5. Andrew B. Whitford, 2007. "Competing Explanations for Bureaucratic Preferences," Journal of Theoretical Politics, , vol. 19(3), pages 219-247, July.
    6. Jerayr J. Haleblian & Michael D. Pfarrer & Jason T. Kiley, 2017. "High-Reputation Firms and Their Differential Acquisition Behaviors," Strategic Management Journal, Wiley Blackwell, vol. 38(11), pages 2237-2254, November.

    More about this item

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs

    Lists

    This item is featured on the following reading lists, Wikipedia, or ReplicationWiki pages:
    1. A PREDICTIVE APPROACH TO MODEL SELECTION AND MULTICOLLINEARITY (Journal of Applied Econometrics 1997) in ReplicationWiki

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:jae:japmet:v:12:y:1997:i:1:p:67-75. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley-Blackwell Digital Licensing or Christopher F. Baum (email available below). General contact details of provider: http://www.interscience.wiley.com/jpages/0883-7252/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.