Testing-Based Forward Model Selection
AbstractThis paper defines and studies a variable selection procedure called Testing-Based Forward Model Selection. The procedure inductively selects covariates which increase predictive accuracy into a working statistical regression model until a stopping criterion is met. The stopping criteria and selection criteria are defined using statistical hypothesis tests. The paper explicitly describes a testing procedure in the context of high-dimensional linear regression with heteroskedastic disturbances. Finally, a simulation study examines finite sample performance of the proposed procedure and shows that it behaves favorably in high-dimensional sparse settings in terms of prediction error and size of selected model.
CitationKozbur, Damian. 2017. "Testing-Based Forward Model Selection." American Economic Review, 107 (5): 266-69. DOI: 10.1257/aer.p20171039
- C52 Model Evaluation, Validation, and Selection