1989
The distance between regression models and its impact on model selection
Publication
Publication
Applied Mathematics and Computation p. 1- 16
In the case of nested hypothesis testing there exist many model selection criteria with which a “best” model is chosen. It is however very likely that the estimated hypotheses are all “incorrect”. In this paper model choice is made while assuming the existence of a “true” model. After the introduction of the distance as a measure of difference between models, it is demonstrated that model selection is influenced by the correct specification. Eight choice criteria are compared with respect to this influence.
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| doi.org/10.1016/0096-3003(89)90002-7, hdl.handle.net/1765/2055 | |
| Applied Mathematics and Computation | |
| Organisation | Erasmus School of Economics |
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Franses, P. H. (1989). The distance between regression models and its impact on model selection. Applied Mathematics and Computation, 1–16. doi:10.1016/0096-3003(89)90002-7 |
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