Header

UZH-Logo

Maintenance Infos

Testing-Based Forward Model Selection


Kozbur, Damian (2017). Testing-Based Forward Model Selection. American Economic Review, 107(5):266-269.

Abstract

This paper defines and studies a variable selection procedure called Testing-Based Forward Model Selection. The procedure inductively selects covariates which increase predictive accuracy into a working statistical regression model until a stopping criterion is met. The stopping criteria and selection criteria are defined using statistical hypothesis tests. The paper explicitly describes a testing procedure in the context of high-dimensional linear regression with heteroskedastic disturbances. Finally, a simulation study examines finite sample performance of the proposed procedure and shows that it behaves favorably in high-dimensional sparse settings in terms of prediction error and size of selected model.

Abstract

This paper defines and studies a variable selection procedure called Testing-Based Forward Model Selection. The procedure inductively selects covariates which increase predictive accuracy into a working statistical regression model until a stopping criterion is met. The stopping criteria and selection criteria are defined using statistical hypothesis tests. The paper explicitly describes a testing procedure in the context of high-dimensional linear regression with heteroskedastic disturbances. Finally, a simulation study examines finite sample performance of the proposed procedure and shows that it behaves favorably in high-dimensional sparse settings in terms of prediction error and size of selected model.

Statistics

Altmetrics

Downloads

25 downloads since deposited on 24 May 2017
25 downloads since 12 months
Detailed statistics

Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Economics
Dewey Decimal Classification:330 Economics
Uncontrolled Keywords:Model evaluation, validation, and selection
Language:English
Date:May 2017
Deposited On:24 May 2017 13:10
Last Modified:23 Nov 2017 08:39
Publisher:American Economic Association
ISSN:0002-8282
Free access at:Publisher DOI. An embargo period may apply.
Publisher DOI:https://doi.org/10.1257/aer.p20171039

Download

Download PDF  'Testing-Based Forward Model Selection'.
Preview
Content: Accepted Version
Filetype: PDF
Size: 275kB
View at publisher