论文信息 - Regression Selection Strategies and Revealed Priors

Regression Selection Strategies and Revealed Priors

Abstract The computation and selection of constrained regressions may be motivated by prior information and, if so, a regression selection strategy reveals the implicit prior. The selection strategies of principal component regression, stepwise regression, and imposing equality constraints are connected with prior densities which are uniform on spheres, hyperbolas, and cones, respectively. Omitting variables in a predetermined order reveals lexicographic priors.

Edward Leamer

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