Economics 508 Lecture 4 Model Selection and Fishing for Significance
نویسنده
چکیده
Classical hypothesis testing plays a central role in econometrics, but in many applied problems we face a preliminary stage of the analysis in which we need to make decisions about model specification. These decisions are not very well formalized in terms of classical hypothesis testing, and gradually specialized procedures have been developed for this under the rubric “model selection.” In this lecture I will describe two of these procedures and relate them to more classical notions of hypothesis testing. The framework for model selection can be described as follows. We have a collection of parametric models
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