Pyrrho's lemma,or have it your way |
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Authors: | Theo K Dijkstra |
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Institution: | (1) Faculty of Economics, University of Groningen, P.O. Box 800, 9700 AV Groningen, The Netherlands |
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Abstract: | A simple lemma is derived to support the claim that regression models can be manipulated to a very large extent: by simply adding one regressor one can obtain essentially every set of desired regression coefficients and predictions as well ast-values and standard errors. Consequently, if the product of a specification search is not shown to be generalizable, a sceptical attitude towards its validity is well-founded. |
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