A PREDICTIVE APPROACH TO MODEL SELECTION AND MULTICOLLINEARITY
主张采用预测方法进行模型设定，推导了包含或排除解释变量子集时均值差和协方差矩阵行列式比，并通过模拟数据和两个经济应用展示结果。
We argue for the adoption of a predictive approach to model specification. Specifically, we derive the difference between means and the ratio of determinants of covariance matrices when a subset of explanatory variables is included or excluded from a regression. For several special cases these measures are shown to be related to widely used tools for studying model specification. Results for a set of simulated data and for two economic applications are presented as examples.