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A History of EconometricsThe Reformation from the 1970s$
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Duo Qin

Print publication date: 2013

Print ISBN-13: 9780199679348

Published to Oxford Scholarship Online: September 2013

DOI: 10.1093/acprof:oso/9780199679348.001.0001

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Calibration of Model Selection and Design Procedure

Calibration of Model Selection and Design Procedure

Chapter:
(p.153) 9 Calibration of Model Selection and Design Procedure
Source:
A History of Econometrics
Author(s):

Qin Duo

Publisher:
Oxford University Press
DOI:10.1093/acprof:oso/9780199679348.003.0010

This chapter looks at the slow and bumpy development of criteria and procedures for model selection and design. It describes how econometricians have gradually turned to face squarely the vexing problems in model choice and allowed for more data-based criteria through an increasing use of specification tests. It also compares the similarities and differences on the model choice issue of the three methodological approaches discussed in Chapters 2-4. It shows that the issue of how to balance theory-based criteria with data-based criteria in model selection and design has remained controversial and unsettled since the reformative movements. It raises the question of how much attempts to formalise a general modelling strategy can achieve in practice.

Keywords:   Model design, selection, specification test, non-nested test, parsimonious encompassing

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