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
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