COMMENTS ON TESTING ECONOMIC-THEORIES AND THE USE OF MODEL SELECTION CRITERIA

被引:78
作者
GRANGER, CWJ [1 ]
KING, ML [1 ]
WHITE, H [1 ]
机构
[1] MONASH UNIV,CLAYTON,VIC 3168,AUSTRALIA
基金
美国国家科学基金会;
关键词
MODEL CHOICE; SELECTION CRITERIA; HYPOTHESIS TESTING; NONNESTED TESTS;
D O I
10.1016/0304-4076(94)01632-A
中图分类号
F [经济];
学科分类号
02 ;
摘要
This paper outlines difficulties with testing economic theories, particularly that the theories may be vague, may relate to a decision interval different from the observation period, and may need a metric to convert a complicated testing situation to an easier one. We argue that it is better to use model selection procedures rather than formal hypothesis testing when deciding on model specification. This is because testing favors the null hypothesis, typically uses an arbitrary choice of significance level, and researchers using the same data can end up with different final models.
引用
收藏
页码:173 / 187
页数:15
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