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Using model selection algorithms to obtain reliable coefficient estimates

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...

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Publication status:
Published
Peer review status:
Peer reviewed
Version:
Accepted Manuscript

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Publisher copy:
10.1111/j.1467-6419.2011.00704.x

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Department:
Oxford, SSD, Economics
Role:
Author
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:

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