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A Tale of 3 Cities: Model Selection in Over-, Exact, and Under-specified Equations.

Abstract:

Model selection from a general unrestricted model (GUM) can potentially confront three very different environments: over-, exact, and under-specification of the data generation process (DGP). In the first, and most-studied setting, the DGP is nested in the GUM, and the main role of general-to-specific (Gets) selection is to eliminate the irrelevant variables while retaining the relevant. In an exact specification, the theory formulation is precisely correct and can always be retained by ‘fo...

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Publisher:
Department of Economics (University of Oxford)
Series:
Discussion paper series
Publication date:
2010-12-01
Language:
English
UUID:
uuid:062be510-6faf-4117-aefd-551cd3831a7e
Local pid:
oai:economics.ouls.ox.ac.uk:15074
Deposit date:
2011-08-16

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