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Chapter 5 MODEL CHOICE AND SPECIFICATION EDWARD E. LEAMER Basic concepts The functional Examples central asymptotic limit theorem results theory and related tools and notation and preliminary. Generalizations and additional references | Chapter 5 MODEL CHOICE AND SPECIFICATION ANALYSIS EDWARD E. LEAMER University of California Los Angeles Contents 1. Introduction 286 2. Model selection with prior distributions 288 2.1. Hypothesis testing searches 289 2.2. Interpretive searches 296 3. Model selection with loss functions 304 3.1. Model selection with quadratic loss 306 3.2. Simplification searches Model selection with fixed costs 311 3.3. Ridge regression 313 3.4. Inadmissibility 313 4. Proxy searches Model selection with measurement errors 314 5. Model selection without a true model 315 6. Data-instigated models 317 7. Miscellaneous topics 320 7.1. Stepwise regression 320 7.2. Cross-validation 320 7.3. Goodness-of-fit tests 324 8. Conclusion 325 References 325 Helpful comments from David Belsley Zvi Griliches Michael Intriligator and Peter Schmidt are gratefully acknowledged. Work was supported by NSF grant SOC78-09477. Handbook of Econometrics Volume I Edited by Z. Griliches and M.D. Intriligator North-Holland Publishing Company 1983 286 E. E. Learner 1. Introduction The data banks of the National Bureau of Economic Research contain time-series data on 2000 macroeconomic variables. Even if observations were available since the birth of Christ the degrees of freedom in a model explaining gross national product in terms of all these variables would not turn positive for another two decades. If annual observations were restricted to the 30-year period from 1950 to 1979 the degrees of freedom deficit would be 1970. A researcher who sought to sublimate the harsh reality of the degrees of freedom deficit and who restricted himself to exactly five explanatory variables could select from a menu of 2000j 2 65xWi4 equations to be estimated which at the cost of ten cents per regression would consume a research budget of twenty-six trillion dollars. What is going on Although it is safe to say that economists have not tried anything like 1014 regressions to explain GNP I rather think a reasonably large number
