MODEL DISCOVERY AND TRYGVE HAAVELMO’S LEGACY
探讨哈维尔莫概率方法中模型选择的应用，在保留理论相关变量的同时选择其他候选变量，发现即使变量多于观测值或存在内生变量，估计量分布也不受影响，从而低成本实现其研究纲领。
Trygve Haavelmo’s Probability Approach aimed to implement economic theories, but he later recognized their incompleteness. Although he did not explicitly consider model selection, we apply it when theory-relevant variables, { X t }, are retained without selection while selecting other candidate variables, { W t }. Under the null that the { W t } are irrelevant, by orthogonalizing with respect to the { X t }, the estimator distributions of the X t ’s parameters are unaffected by selection even for more variables than observations and for endogenous variables. Under the alternative, when the joint model nests the generating process, an improved outcome results from selection. This implements Haavelmo’s program relatively costlessly.