Exploring the Usefulness of a Nonrandom Holdout Sample for Model Validation: Welfare Effects on Female Behavior

28 Pages Posted: 13 Dec 2007

See all articles by Michael P. Keane

Michael P. Keane

University of New South Wales

Kenneth I. Wolpin

University of Pennsylvania

Abstract

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.

Suggested Citation

Keane, Michael P. and Wolpin, Kenneth I., Exploring the Usefulness of a Nonrandom Holdout Sample for Model Validation: Welfare Effects on Female Behavior. International Economic Review, Vol. 48, Issue 4, pp. 1351-1378, November 2007, Available at SSRN: https://ssrn.com/abstract=1071234 or http://dx.doi.org/10.1111/j.1468-2354.2007.00465.x

Michael P. Keane (Contact Author)

University of New South Wales ( email )

Sydney, NSW
Australia

Kenneth I. Wolpin

University of Pennsylvania ( email )

Philadelphia, PA 19104
United States

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
9
Abstract Views
660
PlumX Metrics