Choice is suffering

摘要

In contrast to conventional measures, the Focused Information Criterion(FIC) allows the purpose-specific selection of models, thereby reflecting theidea that one kind of model might be appropriate for inferences on a parameter ofinterest, but not for another. Ever since its introduction, the FIC has been increasinglyapplied in the realm of statistics, but this concept appears to be virtuallyunknown in the economic literature. Using a straightforward analytical example,this paper illustrates the FIC and its usefulness in economic applications. JEL classification: C3, D2