The theory of econometric model selection

Abstract

This thesis is concerned with the theory of econometric model selection, an area of fundamental importance in econometrics. The two themes of the document are the approach to developing model selection criteria and the processes for criteria evaluation. Each chapter contains elements of them both. In Chapter 1, principles of model selection are established and the role of inductive inference in model selection is examined. Chapter 2 is an overview of existing criteria, whereby the criteria are classified into three groups according to their application. Chapters 3, 4 and 6 are devoted to aspects of criteria evaluation, namely the conflicts between criteria, the adjustments for dimensionality and various statistical and interpretative properties. In Chapters 3, 5 and 7, new criteria are proposed. These criteria represent extensions and generalisations of existing procedures. The motivation throughout the thesis is for generality, though necessarily, specific illustrations must be made. The objective is to produce a unified structure for model selection which will infer new directions in model selection. This point is pursued in Chapter 8.