The authors are grateful for support from NICHD under grant HD-34019 and from several grants from the Minnesota Supercomputer Institute. Part of Keane's work on this project was completed while he was visiting Arizona State University as the Goldwater Chair in American Institutions. We thank two anonymous referees and a guest editor for helpful comments. Please address correspondence to: Kenneth I. Wolpin, Department of Economics, University of Pennsylvania, 3718 Locust Walk, Philadelphia, PA 19104, U.S.A. Phone: 215-898-7709. Fax: 215-746-2947. E-mail: wolpink@ssc.upenn.edu.
1468-2354/asset/IERE_centre.gif?v=1&s=0c315c019499e503c6ee8beebeaf22509be89282)
EXPLORING THE USEFULNESS OF A NONRANDOM HOLDOUT SAMPLE FOR MODEL VALIDATION: WELFARE EFFECTS ON FEMALE BEHAVIOR†
Article first published online: 11 DEC 2007
DOI: 10.1111/j.1468-2354.2007.00465.x
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How to Cite
Keane, M. P. and Wolpin, K. I. (2007), EXPLORING THE USEFULNESS OF A NONRANDOM HOLDOUT SAMPLE FOR MODEL VALIDATION: WELFARE EFFECTS ON FEMALE BEHAVIOR. International Economic Review, 48: 1351–1378. doi: 10.1111/j.1468-2354.2007.00465.x
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Manuscript received July 2005; revised May 2006.
Publication History
- Issue published online: 11 DEC 2007
- Article first published online: 11 DEC 2007
- Abstract
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A particularly challenging use of decision-theoretic models in economics is to forecast the impact of large changes in the environment. The problem we explore in this article is how to gain confidence in a model's ability to predict the impact of such large changes. We show that an approach to validation and model selection that includes the choice of a “nonrandom holdout sample,” a sample that differs significantly from the estimation sample along the policy dimension that the model is meant to forecast, can be fruitful.