Advanced Studies in Theoretical and Applied Econometrics

Econometric Model Selection

A New Approach

Authors: Grasa, Antonio Aznar

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About this book

This book proposes a new methodology for the selection of one (model) from among a set of alternative econometric models. Let us recall that a model is an abstract representation of reality which brings out what is relevant to a particular economic issue. An econometric model is also an analytical characterization of the joint probability distribution of some random variables of interest, which yields some information on how the actual economy works. This information will be useful only if it is accurate and precise; that is, the information must be far from ambiguous and close to what we observe in the real world Thus, model selection should be performed on the basis of statistics which summarize the degree of accuracy and precision of each model. A model is accurate if it predicts right; it is precise if it produces tight confidence intervals. A first general approach to model selection includes those procedures based on both characteristics, precision and accuracy. A particularly interesting example of this approach is that of Hildebrand, Laing and Rosenthal (1980). See also Hendry and Richard (1982). A second general approach includes those procedures that use only one of the two dimensions to discriminate among models. In general, most of the tests we are going to examine correspond to this category.

Reviews

`However, it is a well written, readable account of the model specification testing problem, and as such would justify its inclusion on the shelves of academic libraries.'
The Economic Journal, June 1990

Table of contents (1 chapter)

  • Economic Methodology and Econometrics

    Antonio Aznar Grasa

    Pages 5-27

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Buy this book

eBook $179.00 net
( price for USA )
  • ISBN 978-94-017-1358-0
  • digitally watermarked, no DRM
  • included format: PDF
  • eBooks can be used on all Reading Devices
Hardcover $229.00 net
( price for USA )
  • ISBN 978-0-7923-0321-3
  • free shipping for individuals worldwide
  • usually dispatched within 3 to 5 business days
Softcover $229.00 net
( price for USA )
  • ISBN 978-90-481-4051-0
  • free shipping for individuals worldwide
  • usually dispatched within 3 to 5 business days

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Bibliographic Information

Bibliographic Information
Book Title
Econometric Model Selection
Book Subtitle
A New Approach
Series Title
Advanced Studies in Theoretical and Applied Econometrics
Series Volume
16
Copyright
1989
Publisher
Springer Netherlands
Copyright Holder
Springer Science+Business Media Dordrecht
eBook ISBN
978-94-017-1358-0
DOI
10.1007/978-94-017-1358-0
Hardcover ISBN
978-0-7923-0321-3
Softcover ISBN
978-90-481-4051-0
Series ISSN
1570-5811
Edition Number
1
Topics