CHALLENGES FOR ECONOMETRIC MODEL SELECTION
指出标准计量经济模型选择方法存在四个概念错误，并提出应基于半参数视角、视模型为近似、按目的评估模型、将模型不确定性纳入推断，对改进模型选择方法有参考价值。
Standard econometric model selection methods are based on four conceptual errors: parametric vision, the assumption of a true data generating process, evaluation based on fit, and ignoring the impact of model uncertainty on inference. Instead, econometric model selection methods should be based on a semiparametric vision, models should be viewed as approximations, models should be evaluated based on their purpose, and model uncertainty should be incorporated into inference methods. These problems have been examined individually but not jointly, and my view is that future research into econometric model selection should attempt to address all four issues.This research was supported by the National Science Foundation. I thank Peter Phillips and a referee for helpful comments that greatly improved the arguments and exposition.