Re: [Gretl-devel] remove unsignificant variables
On Fri, 11 Jan 2008, Sven Schreiber wrote:
I'm basically a follower of David Hendry here, who has written a
lot about it. For example, you start with a small model which
will later be shown to have suffered from omitted-variable bias.
So you will have shown that the inference (tests) based on the
small model was rubbish. But you used that rubbish to arrive at
your preferred model, so you can't even trust the final model's
tests that say your earlier model was rubbish. It's a vicious
circle and a big ol' mess.
I agree. On the other hand the "forward" procedure might be
useful for pedagogical purposes: what difference does it make, to
the model you end up with, if you go the general-to-specific route
versus the specific-to-general?
But if we do add it, it should come with a "health warning".
Allin.