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Is ‘Which model . . .?’ the right question?

In: Compstat 2006 - Proceedings in Computational Statistics

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  • Nicholas T. Longford

    (SNTL
    Universitat Pompeu Fabra)

Abstract

This paper presents a critique of the standard two-stage approach in which a well-fitting model is identified first, and then applied in one or several subsequent inferences. Although deeply ingrained in practice, this approach is defi- cient because the possibility of an erroneous decision in the model selection (model uncertainty) is discounted. The criticism applies to all model selection procedures, equally in the frequentist and Bayesian perspectives. We describe an approach based on synthetic estimation, in which the estimators based on the candidate models are linearly combined. Its properties are explored in the setting of an experiment from information technology.

Suggested Citation

  • Nicholas T. Longford, 2006. "Is ‘Which model . . .?’ the right question?," Springer Books, in: Alfredo Rizzi & Maurizio Vichi (ed.), Compstat 2006 - Proceedings in Computational Statistics, pages 337-349, Springer.
    • Handle: RePEc:spr:sprchp:978-3-7908-1709-6_26
    DOI: 10.1007/978-3-7908-1709-6_26
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