The distance between regression models and its impact on model selection
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.
|model selection, regression models, selection criteria|
|Applied Mathematics and Computation|
|Organisation||Erasmus School of Economics|
Franses, Ph.H.B.F. (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