The Correlated Gamma-Ratio Distribution in Model Evaluation and Selection
The paper considers the problem of selecting one of two not necessarily nested competing regression models based on comparative evaluations of their abilities in each of two different issues: The first pertains to viewing the problem as a “best-fitting” model determination problem in the sense that a model is sought which is closest to the observed data, and utilizes some measure of the adequacy of the models to describe existing observations. The second is entirely different from the first in that it takes account of the predictive adequacy of the models. It is shown that certain test statistics can be constructed which within each of the above settings can lead to appropriate model selection procedures based on sequential comparisons of the competing models in their abilities to describe the data or to predict future observations. The null distribution of these statistics, termed as the “Correlated Gamma Ratio Distribution”, is obtained as the distribution of the ratio of two correlated gamma variates. Applications are given as well as some simulation results revealing the behaviour of the model selection procedures developed. Potential extensions of the proposed procedures are described.
|Date of creation:||08 Sep 2005|
|Date of revision:|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
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.:
- Edward Greenberg & Robert P. Parks, 1993.
"A Predictive Approach to Model Selection and Multicollinearity,"
- Greenberg, Edward & Parks, Robert P, 1997. "A Predictive Approach to Model Selection and Multicollinearity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(1), pages 67-75, Jan.-Feb..
- West, K.D. & Cho, D., 1993.
"The Predictive Ability of Several Models of Exchange Rate Volatility,"
9317, Wisconsin Madison - Social Systems.
- West, Kenneth D. & Cho, Dongchul, 1995. "The predictive ability of several models of exchange rate volatility," Journal of Econometrics, Elsevier, vol. 69(2), pages 367-391, October.
- West, K.D. & Cho, D., 1993. "The Predictive Ability of Several Models of Exchange Rate Volatility," Working papers 9317r, Wisconsin Madison - Social Systems.
- Kenneth D. West & Dongchul Cho, 1994. "The Predictive Ability of Several Models of Exchange Rate Volatility," NBER Technical Working Papers 0152, National Bureau of Economic Research, Inc.
- James G. MacKinnon, 1983. "Model Specification Tests Against Non-Nested Alternatives," Working Papers 573, Queen's University, Department of Economics.
- West, K.D., 1994.
"Asymptotic Inference About Predictive Ability,"
9417, Wisconsin Madison - Social Systems.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:6355. 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: (Joachim Winter)
If references are entirely missing, you can add them using this form.