Re: [Gretl-users] Variable selection
On 17 June 2018 at 08:03, Riccardo (Jack) Lucchetti <r.lucchetti(a)univpm.it>
wrote:
Having said that, however, I believe that the purpose of the gretl project
is not to tell the world how econometrics should be done. I've
never liked
those schools of econometric thought that lend themselves to almost
religious allegiance: I'm old enought to remember (and shudder at) the zeal
of some converts to the LSE approach back in the 80s and I'm frankly
puzzled by the gospel-like status a certain not-so-harmless book has gained
in recent years.
If the book you're referring to is "Mostly Harmless Econometrics" by Josh
Angrist and Steve Pischke, I tend to agree. Although there is some good
stuff in it, their treatment of IV regression models is uncritical yet
complex to grasp and their view of which techniques should go into an
econometrican's toolbox is, well, myopic to say the least: they talk
throughout parts of the book of modelling data from schools, classrooms and
pupils and yet *nowhere* do they mention the value of using multilevel
models for such data, not even their merits in general; *ditto* for
survival analysis models, even though a sizable part of economics is
forever concerned with estimating factors affecting variations in the
survival rates of firms in various industries. Moreover, the material they
include in their concluding chapter should really have been put near the
start. It's well worth a read, but it's a curiously odd book and not one I
would recommend to people as a starting point on econometrics. Still, at
least it doesn't waste its time discussing stepwise.
C
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