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The Properties of Model Selection When Retaining Theory Variables

出版	Department of Economics, University of Copenhagen, 2011
URL	http://books.google.com.hk/books?id=6JAjzgEACAAJ&hl=&source=gbs_api

註釋Economic theories are often fitted directly to data to avoid possible model selection biases. We show that embedding a theory model that specifies the correct set of m relevant exogenous variables, x{t}, within the larger set of m k candidate variables, (x{t},w{t}), then selection over the second set by their statistical significance can be undertaken without affecting the estimator distribution of the theory parameters. This strategy returns the theory-parameter estimates when the theory is correct, yet protects against the theory being under-specified because some w{t} are relevant.