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PENALIZED-R-super-2 CRITERIA FOR MODEL SELECTION

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  • LARRY W. TAYLOR

Abstract

It is beneficial to observe that popular model selection criteria for the linear model are equivalent to penalized versions of R-super-2. Let PR-super-2 refer to any one of these model selection criteria. Then PR-super-2 serves the dual purpose of selecting the model and summarizing the resulting fit subject to the penalty function. Furthermore, it is straightforward to extend the logic of PR-super-2 to instrumental variables estimation and the non-parametric selection of regressors. For two-stage least squares estimation, a simulation study investigates the finite-sample performance of PR-super-2 to select the correct model in cases of either strong or weak instruments. Copyright © 2009 The Author. Journal compilation © 2009 Blackwell Publishing Ltd and The University of Manchester.

Suggested Citation

  • Larry W. Taylor, 2009. "PENALIZED-R-super-2 CRITERIA FOR MODEL SELECTION," Manchester School, University of Manchester, vol. 77(6), pages 699-717, December.
  • Handle: RePEc:bla:manchs:v:77:y:2009:i:6:p:699-717
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