Being focused
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Date
2011-07-04
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Abstract
In contrast to conventional model selection criteria, the Focused Information
Criterion (FIC) allows for purpose-specific choice of models. This accommodates
the idea that one kind of model might be highly appropriate for inferences
on a particular parameter, but not for another. Ever since its development,
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 classical
example and data for 35 U. S. industry sectors (1960-2005), this paper provides
for an illustration of the FIC and a demonstration of its usefulness in empirical
applications.
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Keywords
Cross-Price Elasticities, Information Criteria, Translog Cost Function