A theory of dichotomous valuation with applications to variable selection

@article{Hu2020ATO,
  title={A theory of dichotomous valuation with applications to variable selection},
  author={Xingwei Hu},
  journal={Econometric Reviews},
  year={2020},
  volume={39},
  pages={1075 - 1099}
}
  • Xingwei Hu
  • Published 1 August 2018
  • Economics, Computer Science
  • Econometric Reviews
Abstract An econometric or statistical model may undergo a marginal gain if we admit a new variable to the model, and a marginal loss if we remove an existing variable from the model. Assuming equality of opportunity among all candidate variables, we derive a valuation framework by the expected marginal gain and marginal loss in all potential modeling scenarios. However, marginal gain and loss are not symmetric; thus, we introduce three unbiased solutions. When used in variable selection, our… 
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