Tatsuya Kubokawa (Faculty of Economics, University of Tokyo) Muni S. Srivastava (Department of Statistics, University of Toronto)
Abstract
The paper addresses the problem of selecting variables in the two-stage sampling models characterized as a linear mixed model. We obtain the Empirical Bayes Information Criterion (EBIC) using a prior distribution on regression coefficients with an unknown hyper-parameter. It is shown that EBIC not only has the nice asymptotic property of the consistency as a variable selection, but also performs better in small sample sizes than the conventional methods like BIC and AIC in light of selecting the true variables.
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Publisher Info
Paper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE F-Series with number
CIRJE-F-614.