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On inconsistency of Hellwig's variable choice method in regression models
Discussiones Mathematicae. Probability and Statistics, Tome 29 (2009) no. 1, pp. 41-51
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It is shown that a popular variable choice method of Hellwig, which is recommended in the Polish econometric textbooks does not enjoy a very basic consistency property. It means in particular that the method may lead to rejection of significant variables in econometric modeling. A simulation study and a real data analysis case are given to support theoretical results.
Keywords: model choice, econometric modeling 
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Bednarski, Tadeusz; Borowicz, Filip. On inconsistency of Hellwig's variable choice method in regression models. Discussiones Mathematicae. Probability and Statistics, Tome 29 (2009) no. 1, pp. 41-51. http://geodesic.mathdoc.fr/item/DMPS_2009_29_1_a2/

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