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Edward Greenberg
;
Robert P. Parks

a predictive approach to model selection and multicollinearity (replication data)

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. Results for an economic application are presented as an example.

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Greenberg, Edward; Parks, Robert P. (1997): A PREDICTIVE APPROACH TO MODEL SELECTION AND MULTICOLLINEARITY (replication data). Version: 1. Journal of Applied Econometrics. Dataset. http://dx.doi.org/10.15456/jae.2022313.1256719239

Related Publication

GREENBERG, E. and PARKS, R. (1997), A Predictive Approach To Model Selection And Multicollinearity, Journal of Applied Econometrics, 12(1), 67-75. https://doi.org/10.1002/(sici)1099-1255(199701)12:1<67::aid-jae427>3.0.co;2-w