In this chapter, we will illustrate the step-by-step procedure for the estimation of an econometric model. Starting from the raw set of hypothetical data (concerning a fictitious company), we will guide the reader through the following phases of the model building process:
The preliminary specification of the model.
The detection of potential outliers in the data set.
The selection of explanatory variables from the set of candidate variables (by means of two alternative procedures, that is, “general to specific modeling” and “stepwise regression”).
The tentative interpretation of the obtained regression structural parameters.
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