Building Better Econometric Models Using Cross Section and Panel Data

Abstract

Many empirical researchers yearn for an econometric model that better explains their data. Yet these researchers rarely pursue this objective for fear of the statistical complexities involved in specifying that model. This book is intended to alleviate those anxieties by providing a practical methodology that anyone familiar with regression analysis can employ—a methodology that will yield a model that is both more informative and is a better representation of the data.

Most empirical researchers have been taught in their undergraduate econometrics courses about statistical misspecification testing and respecification. But the impact these techniques can have on the inference that is drawn from their results is often overlooked. In academia, ...