Bruce E. Hansen
"Challenges for Econometric Model Selection"
Econometric Theory, 2005, 21, 60-68.
Standard econometric model selection methods are based on four fundamental
errors in approach: parametric vision, the assumption of a true DGP,
evaluation based on fit, and ignoring the impact of model uncertainty on
inference. Instead, econometric model selection methods should be based on a
semiparametric vision, models should be viewed as approximations, models
should be evaluated based on their purpose, and model uncertainty should be
incorporated into inference methods. These problems have been examined
individually, but not jointly, and my view is that future research into
econometric model selection should attempt to address all four
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Some of the above material is based upon work supported by the National Science Foundation under Grants No. SES-9022176, SES-9120576, SBR-9412339, and SBR-9807111.
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