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Pyrrho's lemma, or have it your way

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Abstract

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.

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Authors and Affiliations

  1. Faculty of Economics, University of Groningen, P.O. Box 800, 9700 AV, Groningen, The Netherlands

    Theo K. Dijkstra

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  1. Theo K. Dijkstra
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Dijkstra, T.K. Pyrrho's lemma, or have it your way. Metrika 42, 119–125 (1995). https://doi.org/10.1007/BF01894292

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  • DOI: https://doi.org/10.1007/BF01894292

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