- Abstract:
-
This review surveys a number of common model selection algorithms (MSAs), discusses how they relate to each other and identifies factors that explain their relative performances. At the heart of MSA performance is the trade‐off between type I and type II errors. Some relevant variables will be mistakenly excluded, and some irrelevant variables will be retained by chance. A successful MSA will find the optimal trade‐off between the two types of errors for a given data environment. Whether a gi...
Expand abstract - Publication status:
- Published
- Peer review status:
- Peer reviewed
- Version:
- Accepted Manuscript
- Files:
-
-
(pdf, 401.0KB)
-
- Publisher copy:
- 10.1111/j.1467-6419.2011.00704.x
-
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- Publisher:
- Wiley Publisher's website
- Journal:
- Journal of Economic Surveys Journal website
- Volume:
- 27
- Issue:
- 2
- Pages:
- 269-296
- Publication date:
- 2013-04-01
- DOI:
- EISSN:
-
1467-6419
- ISSN:
-
0950-0804
- Pubs id:
-
pubs:394307
- URN:
-
uri:e0b12ffa-e3ad-45fe-8504-f90e0024998a
- UUID:
-
uuid:e0b12ffa-e3ad-45fe-8504-f90e0024998a
- Local pid:
- pubs:394307
- Keywords:
- Copyright holder:
- Blackwell Publishing Ltd.
- Copyright date:
- 2013
- Notes:
- © 2011 Blackwell Publishing Ltd. This is the accepted manuscript version of the article. The final version is available online from Wiley at: 10.1111/j.1467-6419.2011.00704.x
Journal article
Using model selection algorithms to obtain reliable coefficient estimates
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