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An Application of Multiple Comparison Techniques to Model Selection

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  • Hidetoshi Shimodaira
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    File URL: http://hdl.handle.net/10.1023/A:1003483128844
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    Bibliographic Info

    Article provided by Springer in its journal Annals of the Institute of Statistical Mathematics.

    Volume (Year): 50 (1998)
    Issue (Month): 1 (March)
    Pages: 1-13

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    Handle: RePEc:spr:aistmt:v:50:y:1998:i:1:p:1-13

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    Web page: http://www.springerlink.com/link.asp?id=102845

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    Related research

    Keywords: Akaike's information criterion; model selection; confidence set; multiple comparison with the best; Gupta's subset selection; variable selection; multiple regression; bootstrap resampling;

    References

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    1. Dastoor, Naorayex K. & McAleer, Michael, 1989. "Some Power Comparisons of Joint and Paired Tests for Nonnested Models under Local Hypotheses," Econometric Theory, Cambridge University Press, vol. 5(01), pages 83-94, April.
    2. Hidetoshi Shimodaira, 1997. "Assessing the Error Probability of the Model Selection Test," Annals of the Institute of Statistical Mathematics, Springer, Springer, vol. 49(3), pages 395-410, September.
    3. Vuong, Quang H, 1989. "Likelihood Ratio Tests for Model Selection and Non-nested Hypotheses," Econometrica, Econometric Society, Econometric Society, vol. 57(2), pages 307-33, March.
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    Cited by:
    1. Joseph P & Romano & Azeem M. Shaikh & Michael Wolf, 2005. "Formalized Data Snooping Based on Generalized Error Rates," IEW - Working Papers 259, Institute for Empirical Research in Economics - University of Zurich.
    2. Jiménez-Gamero, M.D. & Pino-Mejías, R. & Alba-Fernández, V. & Moreno-Rebollo, J.L., 2011. "Minimum [phi]-divergence estimation in misspecified multinomial models," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 55(12), pages 3365-3378, December.
    3. M. Jiménez-Gamero & R. Pino-Mejías & A. Rufián-Lizana, 2014. "Minimum $$K_{\phi }$$ K ϕ -divergence estimators for multinomial models and applications," Computational Statistics, Springer, Springer, vol. 29(1), pages 363-401, February.

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