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book chapter · The New Palgrave Dictionary of Economics · 2018

Model Selection

Jean‐Marie Dufour

Cited by 0Abstract and details only

Abstract

The problem of statistical model selection in econometrics and statistics is reviewed. Model selection is interpreted as a decision problem through which a statistical model is selected in order to perform statistical analysis, such as estimation, testing, confidence set construction, forecasting, simulation, policy analysis, and so on. Broad approaches to model selection are described: (1) hypothesis testing procedures, including specification and diagnostic tests; (2) penalized goodness-of-fit methods, such as information criteria; (3) Bayesian approaches; (4) forecast evaluation methods. The effect of model selection on subsequent statistical inference is also discussed.

Cite this paper

APA 7

Dufour, J. (2018). Model Selection. The New Palgrave Dictionary of Economics, 8855–8863. https://doi.org/10.1057/978-1-349-95189-5_1964

MLA 9

Dufour, Jean‐Marie. “Model Selection.” The New Palgrave Dictionary of Economics, 2018, pp. 8855–63, https://doi.org/10.1057/978-1-349-95189-5_1964.

Chicago

Dufour, Jean‐Marie. 2018. “Model Selection.” The New Palgrave Dictionary of Economics: 8855–63. https://doi.org/10.1057/978-1-349-95189-5_1964.

Harvard

Dufour, J. (2018) ‘Model Selection’, The New Palgrave Dictionary of Economics, pp. 8855–8863. Available at: https://doi.org/10.1057/978-1-349-95189-5_1964.

BibTeX
@incollection{dufour2018model,
  title = {{Model Selection}},
  author = {Dufour, Jean‐Marie},
  booktitle = {The New Palgrave Dictionary of Economics},
  pages = {8855--8863},
  year = {2018},
  doi = {10.1057/978-1-349-95189-5_1964}
}

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