In this paper, we investigate several variable selection procedures to give an overview of the
existing literature for practitioners.“Let the data speak for themselves” has become the motto …

This paper discusses the econometric methodology of general-to-specific modeling, in
which the modeler simplifies an initially general model that adequately characterizes the …

In this paper we present inference methods which are based on an 'incorrect'criterion, in the
sense that the optimization of this criterion does not directly provide a consistent estimator of …

Cultural variables are incorporated into a baseline endogenous economic growth model.
Cultural attitudes toward achievement and thrift have a positive effect on economic growth …

This paper examines the efficacy of the general‐to‐specific modeling approach associated
with the LSE school of econometrics using a simulation framework. A mechanical algorithm …

Allegations of Bidder collusion at Forest Service timber sales in the Pacific Northwest were
common in the 1970s. Of course, prices may be low for reasons other than collusion. We …

Disputes about econometric methodology partly reflect a lack of evidence on alternative
approaches. We reconsider econometric model selection from a computer-automation …

Linear models are invariant under non‐singular, scale‐preserving linear transformations,
whereas mean square forecast errors (MSFEs) are not. Different rankings may result across …

A synthesis of the authors' groundbreaking econometric research on automatic model
selection, which uses powerful computational algorithms and theory evaluation. Economic …

This paper introduces tests of superexogeneity and invariance. Under the null hypothesis
the conditional model exhibits parameter constancy, while under the alternative shifts in the …