A variable selection procedure for econometric models (Q760747)

This paper proposes a variable selection procedure to search for the economically and statistically best subset in the feasible set for estimation which consists of economically meaningful subsets. In general, predictor variable candidates are classified into eight basic groups through economic information. Variable classification leads to the establishment of the feasible set for estimation. The economically and statically best subset, if it exists, can be found in the feasible set through economic and statistical criteria.