We argue that in analyzing panel-data econometric models, researchers rely excessively on statistical criteria to determine model specification, treating it primarily as a matter of inference. This inferential emphasis is most obvious the common practice using tests (e.g., Hausman test) choose between fixed- and random-effects specifications, often ignoring assumptions underpinning these tests....

We regard histogram density estimation as a model selection problem. Our approach is based on the information-theoretic minimum description length (MDL) principle. MDLbased model selection is formalized via the normalized maximum likelihood (NML) distribution, which has several desirable optimality properties. We show how this approach can be applied for learning generic, irregular (variable-wi...