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© 1989

Econometric Model Selection: A New Approach

Book

Part of the Advanced Studies in Theoretical and Applied Econometrics book series (ASTA, volume 16)

Table of contents

  1. Front Matter
    Pages i-xi
  2. Antonio Aznar Grasa
    Pages 1-4
  3. Antonio Aznar Grasa
    Pages 5-27
  4. Antonio Aznar Grasa
    Pages 29-55
  5. Antonio Aznar Grasa
    Pages 57-91
  6. Antonio Aznar Grasa
    Pages 93-124
  7. Antonio Aznar Grasa
    Pages 125-153
  8. Antonio Aznar Grasa
    Pages 155-179
  9. Antonio Aznar Grasa
    Pages 181-216
  10. Antonio Aznar Grasa
    Pages 217-243
  11. Back Matter
    Pages 245-261

About this book

Introduction

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.

Keywords

decision theory dynamic models econometrics

Authors and affiliations

  1. 1.University of ZaragozaSpain

Bibliographic information

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