Why have multicriteria decision making (MCDM) techniques played only a minor role in econometric and statistical methodology to date? On the surface, this minor role is surprising. Every postulated theoretical relation is almost surely false. A cross-sectional function for household demand may be misspecified as linear rather than nonlinear.
This report has been published in Computational Statistics & Data Analysis Volume 21, Issue 2, Pages 193-214
Kalaba, Robert and Tesfatsion, Leigh, "A Multi-Criteria Approach To Model Specification And Estimation" (1995). ISU Economic Report Series. 5.