A Predictive Approach to Model Selection and Multicollinearity

@inproceedings{Greenberg1993APA,
  title={A Predictive Approach to Model Selection and Multicollinearity},
  author={Edward Greenberg and Robert P. Parks},
  year={1993}
}
We argue for the adoption of a predictive approach to model specification. Specifically, we derive the difference between means and the ratio of determinants of covariance matrices when a subset of explanatory variables is included or excluded from a regression. For several special cases these measures are shown to be related to widely used tools for studying model specification. Results for a set of simulated data and for two economic applications are presented as examples. Thanks to Professor… CONTINUE READING
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