Lavergne, Pascal (1998) Selection of Regressors in Econometrics: Parametric and Nonparametric Methods. Econometric Reviews, vol.17 (n°3). pp. 227-273.

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Identification Number : 10.1080/07474939808800415


The present paper addresses the selection-of-regressors issue into a general discrimination framework. We show how this framework is useful in unifying various procedures for selecting regressors and helpful in understanding the different strategies underlying these procedures. We review selection of regressors in linear, nonlinear and nonparametric regression models. In each case we successively consider model selection criteria and hypothesis testing procedures.

Item Type: Article
Language: English
Date: 1998
Refereed: Yes
Place of Publication: New York
Uncontrolled Keywords: Selection of regressor, Discrimination
JEL Classification: C20 - General
C52 - Model Evaluation and Selection
Divisions: TSE-R (Toulouse)
Site: UT1
Date Deposited: 05 Jan 2022 17:17
Last Modified: 05 Jan 2022 17:17
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