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Information criteria for Fay–Herriot model selection

Author

Listed:
  • Marhuenda, Yolanda
  • Morales, Domingo
  • del Carmen Pardo, María

Abstract

The selection of an appropriate model is a fundamental step of the data analysis in small area estimation. Bias corrections to the Akaike information criterion, AIC, and to the Kullback symmetric divergence criterion, KIC, are derived for the Fay–Herriot model. Furthermore, three bootstrap-corrected variants of AIC and of KIC are proposed. The performance of the eight considered criteria is investigated with a simulation study and an application to real data. The obtained results suggest that there are better alternatives than the classical AIC.

Suggested Citation

  • Marhuenda, Yolanda & Morales, Domingo & del Carmen Pardo, María, 2014. "Information criteria for Fay–Herriot model selection," Computational Statistics & Data Analysis, Elsevier, vol. 70(C), pages 268-280.
    • Handle: RePEc:eee:csdana:v:70:y:2014:i:c:p:268-280
    DOI: 10.1016/j.csda.2013.09.016
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    References listed on IDEAS

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    8. Esteban, M.D. & Morales, D. & Pérez, A. & Santamaría, L., 2012. "Small area estimation of poverty proportions under area-level time models," Computational Statistics & Data Analysis, Elsevier, vol. 56(10), pages 2840-2855.
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    Cited by:

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    4. Boubeta, Miguel & Lombardía, María José & Morales, Domingo, 2017. "Poisson mixed models for studying the poverty in small areas," Computational Statistics & Data Analysis, Elsevier, vol. 107(C), pages 32-47.
    5. María José Lombardía & Esther López‐Vizcaíno & Cristina Rueda, 2017. "Mixed generalized Akaike information criterion for small area models," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 180(4), pages 1229-1252, October.
    6. Kreutzmann, Ann-Kristin & Marek, Philipp & Salvati, Nicola & Schmid, Timo, 2019. "Estimating regional wealth in Germany: How different are East and West really?," Discussion Papers 35/2019, Deutsche Bundesbank.
    7. María Dolores Esteban & María José Lombardía & Esther López-Vizcaíno & Domingo Morales & Agustín Pérez, 2023. "Small area estimation of average compositions under multivariate nested error regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 32(2), pages 651-676, June.

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