Variable selection and transformation in linear regression models
We develop a method for comparing separate linear models, for a common response variable that may be expressed on different scales and may be described by distinct explanatory variables. A method of stochastic simulation is used to approximate the fitted maximum likelihood estimates and then the Cox statistic is computed to test separate linear models. The bootstrap iteration is also used to calibrate confidence intervals to correct the test level.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 72 (2005)
Issue (Month): 3 (May)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
References listed on IDEAS
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.:
- Hashem Pesaran, M. & Pesaran, Bahram, 1993.
"A simulation approach to the problem of computing Cox's statistic for testing nonnested models,"
Journal of Econometrics,
Elsevier, vol. 57(1-3), pages 377-392.
- Pasaran, M.H. & Pasaran, B., 1989. "A Simulation Approach To The Problem Of Computing Cox'S Statistic For Testing Non-Nested Models," Papers 7, California Los Angeles - Applied Econometrics.
- White, Halbert, 1982. "Regularity conditions for cox's test of non-nested hypotheses," Journal of Econometrics, Elsevier, vol. 19(2-3), pages 301-318, August.
When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:72:y:2005:i:3:p:219-226. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Shamier, Wendy)
If references are entirely missing, you can add them using this form.