regressors

FYI, in S-i-M's newer "Bayesian Averaging" robustness tests of growth models, he finds that the optimal number of regressors is something like 7.4, if I recall correctly.

IQ and Living Standards, Arnold Kling | EconLog | Library of Economics and Liberty 2009

In regression (you can think it as "prediction"), one has variables called regressors, and (in this case) a variable called response variable.

Mann to speak at UC Santa Cruz « Climate Audit 2006

I also dispute that only using a subset of regressors, rather than the full set, is a "tougher test".

IQ and Living Standards, Arnold Kling | EconLog | Library of Economics and Liberty 2009

So, the short answer is that I don't know what would happen if I threw in more and more regressors into the same regression (it would be a snap to do it, though).

IQ and Living Standards, Arnold Kling | EconLog | Library of Economics and Liberty 2009

He used seven variables at a time: 3 fixed regressors (life expectancy in 1960, primary school enrollment in 1960, and log GDP per capita in 1960), 3 rotating regressors, and the regressor that he's testing (plus a constant, of course).

IQ and Living Standards, Arnold Kling | EconLog | Library of Economics and Liberty 2009

What happens if you choose all the combinations of five regressors, or three?

IQ and Living Standards, Arnold Kling | EconLog | Library of Economics and Liberty 2009

What happens if you choose all the combinations of five regressors, or three?

IQ and Living Standards, Arnold Kling | EconLog | Library of Economics and Liberty 2009

But when I was a grad student at UCSD, Rob Engle taught us that he strongly favored smaller models (four or five regressors, at most), and I've carried that atheoretical, soft knowledge with me into my career.

IQ and Living Standards, Arnold Kling | EconLog | Library of Economics and Liberty 2009

I always thought that if you're tossing out the garbage regressors, then the remaining robust ones are quite likely be eating up lots of the econometric space spanned by GDP growth.

IQ and Living Standards, Arnold Kling | EconLog | Library of Economics and Liberty 2009

I also dispute that only using a subset of regressors, rather than the full set, is a "tougher test".

IQ and Living Standards, Arnold Kling | EconLog | Library of Economics and Liberty 2009