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The Correlated Gamma-Ratio Distribution in Model Evaluation and Selection

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Author Info
Panaretos, John
Psarakis, Stelios
Xekalaki, Evdokia
Karlis, Dimitris

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Abstract

The paper considers the problem of selecting one of two not necessarily nested competing regression models based on comparative evaluations of their abilities in each of two different issues: The first pertains to viewing the problem as a “best-fitting” model determination problem in the sense that a model is sought which is closest to the observed data, and utilizes some measure of the adequacy of the models to describe existing observations. The second is entirely different from the first in that it takes account of the predictive adequacy of the models. It is shown that certain test statistics can be constructed which within each of the above settings can lead to appropriate model selection procedures based on sequential comparisons of the competing models in their abilities to describe the data or to predict future observations. The null distribution of these statistics, termed as the “Correlated Gamma Ratio Distribution”, is obtained as the distribution of the ratio of two correlated gamma variates. Applications are given as well as some simulation results revealing the behaviour of the model selection procedures developed. Potential extensions of the proposed procedures are described.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 6355.

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Date of creation: 08 Sep 2005
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Handle: RePEc:pra:mprapa:6355

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Related research
Keywords: Model selection Bivariate gamma distribution F distribution Non-nested models Predictive ability

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Find related papers by JEL classification:
C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General

References listed on IDEAS
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  1. West, Kenneth D. & Cho, Dongchul, 1995. "The predictive ability of several models of exchange rate volatility," Journal of Econometrics, Elsevier, vol. 69(2), pages 367-391, October. [Downloadable!] (restricted)
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  2. West, Kenneth D, 1996. "Asymptotic Inference about Predictive Ability," Econometrica, Econometric Society, vol. 64(5), pages 1067-84, September. [Downloadable!] (restricted)
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  3. Greenberg, Edward & Parks, Robert P, 1997. "A Predictive Approach to Model Selection and Multicollinearity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(1), pages 67-75, Jan.-Feb.. [Downloadable!]
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  4. James MacKinnon, 1983. "Model specification tests against non-nested alternatives," Econometric Reviews, Taylor and Francis Journals, vol. 2(1), pages 85-110. [Downloadable!] (restricted)
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Panaretos, John & Psarakis, Stelios & Xekalaki, Evdokia, 1998. "On a Distribution Arising in the Context of Comparative Model Performance Evaluation Problems," MPRA Paper 6276, University Library of Munich, Germany. [Downloadable!]
  2. Xekalaki, Evdokia & Panaretos, John & Psarakis, Stelios, 2003. "A Predictive Model Evaluation and Selection Approach - The Correlated Gamma Ratio Distribution," MPRA Paper 6389, University Library of Munich, Germany. [Downloadable!]
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