Ruhr Economic Papers

Ruhr Economic Papers #250

Choice is Suffering: A Focused Information Criterion for Model Selection

by Peter Behl, Holger Dette, Manuel Frondel and Harald Tauchmann

RWI, RUB, 04/2011, 15 S./p., 8 Euro, ISBN 978-3-86788-292-7

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Abstract

In contrast to conventional measures, the Focused Information Criterion (FIC) allows the purpose-specific selection of models, thereby reflecting the idea that one kind of model might be appropriate for inferences on a parameter of interest, but not for another. Ever since its invention, the FIC has been increasingly applied in the realm of statistics, but this concept appears to be virtually unknown in the economic literature. Using a straightforward analytical example, this paper provides for a didactic illustration of the FIC and shows its usefulness in economic applications.

JEL-Classification: C3, D2

Keywords: AKAIKE Information Criterion; SCHWARZ Information Criterion; Translog Cost Function

Published as:

Behl, P., H. Dette, M. Frondel and H. Tauchmann (2012), Choice is Suffering: A Focused Information Criterion for Model Selection. Economic Modelling 29 (3): 817-822.

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