The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Model Selection

  • Jean-Marie Dufour
Reference work entry


The problem of statistical model selection in econometrics and statistics is reviewed. Model selection is interpreted as a decision problem through which a statistical model is selected in order to perform statistical analysis, such as estimation, testing, confidence set construction, forecasting, simulation, policy analysis, and so on. Broad approaches to model selection are described: (1) hypothesis testing procedures, including specification and diagnostic tests; (2) penalized goodness-of-fit methods, such as information criteria; (3) Bayesian approaches; (4) forecast evaluation methods. The effect of model selection on subsequent statistical inference is also discussed.


ARMA models Autocorrelation Bayesian statistics Deterministic models Econometrics Endogeneity Forecasting Forecast evaluation Heteroskedasticity Linear models Model selection Models Parsimony Probability models Serial correlation Specification problems in econometrics Statistical decision theory Statistical inference Stochastic models Structural change Testing Time series analysis 

JEL Classifications

C10 C50 D81 E52 O40 
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© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • Jean-Marie Dufour
    • 1
  1. 1.