Econometric Model Selection

1. Front Matter

   Pages i-xi

   PDF

2. Introduction

   • Antonio Aznar Grasa

   Pages 1-4

3. Economic Methodology and Econometrics

   • Antonio Aznar Grasa

   Pages 5-27

4. Statistical Decision Theory

   • Antonio Aznar Grasa

   Pages 29-55

5. Econometric Model Selection Procedures: A Survey

   • Antonio Aznar Grasa

   Pages 57-91

6. Set of Spherical Models

   • Antonio Aznar Grasa

   Pages 93-124

7. Set of More Informative Models

   • Antonio Aznar Grasa

   Pages 125-153

8. AVE and ACOR Criteria. A New Proposal

   • Antonio Aznar Grasa

   Pages 155-179

9. Dynamic Models-1

   • Antonio Aznar Grasa

   Pages 181-216

10. Dynamic Models-2

    • Antonio Aznar Grasa

    Pages 217-243

11. Back Matter

    Pages 245-261

    PDF

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.

• decision theory
• dynamic models
• econometrics

`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

• University of Zaragoza, Spain

  Antonio Aznar Grasa

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