The Properties of Model Selection when Retaining Theory Variables

Publikation: Working paperForskning

Standard

The Properties of Model Selection when Retaining Theory Variables. / Hendry, David F. ; Johansen, Søren.

Department of Economics, University of Copenhagen, 2011.

Publikation: Working paperForskning

Harvard

Hendry, DF & Johansen, S 2011 'The Properties of Model Selection when Retaining Theory Variables' Department of Economics, University of Copenhagen. <https://www.econ.ku.dk/english/research/publications/wp/dp_2011/1125.pdf >

APA

Hendry, D. F., & Johansen, S. (2011). The Properties of Model Selection when Retaining Theory Variables. Department of Economics, University of Copenhagen. https://www.econ.ku.dk/english/research/publications/wp/dp_2011/1125.pdf

Vancouver

Hendry DF, Johansen S. The Properties of Model Selection when Retaining Theory Variables. Department of Economics, University of Copenhagen. 2011.

Author

Hendry, David F. ; Johansen, Søren. / The Properties of Model Selection when Retaining Theory Variables. Department of Economics, University of Copenhagen, 2011.

Bibtex

@techreport{d3e658872f844d81805367fd32342df1,
title = "The Properties of Model Selection when Retaining Theory Variables",
abstract = "Economic theories are often fitted directly to data to avoid possible model selection biases. We show that embedding a theory model that specifies the correct set of m relevant exogenous variables, x{t}, within the larger set of m+k candidate variables, (x{t},w{t}), then selection over the second set by their statistical significance can be undertaken without affecting the estimator distribution of the theory parameters. This strategy returns the theory-parameter estimates when the theory is correct, yet protects against the theory being under-specified because some w{t} are relevant.",
author = "Hendry, {David F.} and S{\o}ren Johansen",
note = "JEL classification: C18",
year = "2011",
language = "English",
publisher = "Department of Economics, University of Copenhagen",
address = "Denmark",
type = "WorkingPaper",
institution = "Department of Economics, University of Copenhagen",

}

RIS

TY - UNPB

T1 - The Properties of Model Selection when Retaining Theory Variables

AU - Hendry, David F.

AU - Johansen, Søren

N1 - JEL classification: C18

PY - 2011

Y1 - 2011

N2 - Economic theories are often fitted directly to data to avoid possible model selection biases. We show that embedding a theory model that specifies the correct set of m relevant exogenous variables, x{t}, within the larger set of m+k candidate variables, (x{t},w{t}), then selection over the second set by their statistical significance can be undertaken without affecting the estimator distribution of the theory parameters. This strategy returns the theory-parameter estimates when the theory is correct, yet protects against the theory being under-specified because some w{t} are relevant.

AB - Economic theories are often fitted directly to data to avoid possible model selection biases. We show that embedding a theory model that specifies the correct set of m relevant exogenous variables, x{t}, within the larger set of m+k candidate variables, (x{t},w{t}), then selection over the second set by their statistical significance can be undertaken without affecting the estimator distribution of the theory parameters. This strategy returns the theory-parameter estimates when the theory is correct, yet protects against the theory being under-specified because some w{t} are relevant.

M3 - Working paper

BT - The Properties of Model Selection when Retaining Theory Variables

PB - Department of Economics, University of Copenhagen

ER -

ID: 37805867