Selection criteria for overlapping binary Models
AbstractThe binary model selection procedures are the purpose of this paper. It has been very often studied in the case of linear and nested competing models, but not too much in the framework of non linear and non nested models. Using the classification of Vuong (1989) in nested, overlapping and strictly non-nested models, we focus on the overlapping models. The special situation that the competing models don’t include the true model is studied together with the usual case of the true model included in the compared models. We carry out the analysis both theoretically and through a Monte Carlo experiment.
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Bibliographic InfoPaper provided by Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza in its series Documentos de Trabajo with number dt2012-01.
Date of creation: Jan 2012
Date of revision:
logit and probit; selection criteria; overlapping models; true model; convergence; asymptotic behaviour.;
Find related papers by JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
- C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-06-13 (All new papers)
- NEP-DCM-2012-06-13 (Discrete Choice Models)
- NEP-ECM-2012-06-13 (Econometrics)
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