Pyrrho's lemma, or have it your way
- Cite this article as:
- Dijkstra, T.K. Metrika (1995) 42: 119. doi:10.1007/BF01894292
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A simple lemma is derived to support the claim that regression models can be manipulated to a very large extent: by simply adding one regressor one can obtain essentially every set of desired regression coefficients and predictions as well ast-values and standard errors. Consequently, if the product of a specification search is not shown to be generalizable, a sceptical attitude towards its validity is well-founded.