• Table of Contents
    • Abstract
    • Keywords
    • Article
      • Model selection and specification errors
      • Hypothesis testing approaches
      • Penalized goodness-of-fit criteria
      • Bayesian model selection
      • Forecast evaluation
      • Post-model selection inference
      • Conclusion
    • See Also
    • Bibliography
    • How to cite this article

model selection

Jean-Marie Dufour
From The New Palgrave Dictionary of Economics, Second Edition, 2008
Edited by Steven N. Durlauf and Lawrence E. Blume
Back to top

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.
Back to top

Keywords

Back to top

Article

Back to top

How to cite this article

Dufour, Jean-Marie. "model selection." The New Palgrave Dictionary of Economics. Second Edition. Eds. Steven N. Durlauf and Lawrence E. Blume. Palgrave Macmillan, 2008. The New Palgrave Dictionary of Economics Online. Palgrave Macmillan. 13 December 2017 <http://www.dictionaryofeconomics.com/article?id=pde2008_M000379> doi:10.1057/9780230226203.1110

Download Citation:

as RIS | as text | as CSV | as BibTex