Akaike-type criteria and the reliability of inference: Model selection versus statistical model specification
Akaike 型准则与推断可靠性:模型选择和统计模型设定
Since the 1990s, the Akaike Information Criterion (AIC) and its various modifications/extensions, including BIC, have found wide applicability in econometrics as objective procedures that can be used to select parsimonious statistical models. The aim of this paper is to argue that these model selection procedures invariably give rise to unreliable inferences, primarily because their choice within a prespecified family of models (a) assumes away the problem of model…