A COMPUTER-ASSISTED MODEL SELECTION METHOD FOR THREE STAGE LEAST SQUARES : FROM DATA FITTING TO USABLE MODEL BUILDING
Search this Article
3SLS is more efficient than 2SLS, if at least one equation in a simultaneous equation model is over-identifiable. It is difficult to build in one computer-run a model which is not only econometrically satisfactory but also reasonable for economic research. We define such a model and propose a computer-assisted method to obtain it efficiently. Concretely speaking, we formulate the j-th best subset problem for (C) 2SLS, propose a method to find the first 3 or 4 best equation candidates, which are the solutions to the previous problems, formulate the best model problem for (C) 3SLS, and suggest that the model be selected which passes the conditions and criteria, for sign and magnitude tests, statistical tests, and data-analytic tests, and then has the highest adjusted total coefficient of determination. Various programming techniques are proposed. The System OEPP can be used for the proposed method.
- Journal of the Japanese Society of Computational Statistics
Journal of the Japanese Society of Computational Statistics 1(1), 95-109, 1988-12
Japanese Society of Computational Statistics