ArticleOriginal scientific text
Title
On inconsistency of Hellwig's variable choice method in regression models
Authors 1, 1
Affiliations
- Institute of Economic Sciences, Faculty of Law, Administration and Economics, University of Wroclaw, Uniwersytecka 22/26, 50-145 Wrocław
Abstract
It is shown that a popular variable choice method of Hellwig, which is recommended in the Polish econometric textbooks does not enjoy a very basic consistency property. It means in particular that the method may lead to rejection of significant variables in econometric modeling. A simulation study and a real data analysis case are given to support theoretical results.
Keywords
model choice, econometric modeling
Bibliography
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- Z. Hellwig, Problem optymalnego doboru predyktant, Przegląd Statystyczny nr 4 (1969).
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- D. Serwa, Metoda Hellwiga jako kryterium doboru zmiennych do modeli szeregów czasowych, Szkoła Główna Handlowa, Kolegium analiz Ekonomicznych, Instytut Ekonometrii 2004.
Pages:
41-51
Main language of publication
English
Received
2009-03-15
Published
2009
DOI: 10.7151/dmps.1106
Exact and natural sciences