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Selection criteria for overlapping binary Models

Author

Listed:
  • M. T. Aparicio

    (University of Zaragoza)

  • I. Villan�a

    (University of Zaragoza)

Abstract

The binary model selection procedures are the purpose of this paper. It has been very often studied in the case of linear and nested competing models, but not too much in the framework of non linear and non nested models. Using the classification of Vuong (1989) in nested, overlapping and strictly non-nested models, we focus on the overlapping models. The special situation that the competing models don�t include the true model is studied together with the usual case of the true model included in the compared models. We carry out the analysis both theoretically and through a Monte Carlo experiment.

Suggested Citation

  • M. T. Aparicio & I. Villan�a, 2012. "Selection criteria for overlapping binary Models," Documentos de Trabajo dt2012-01, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza.
    • Handle: RePEc:zar:wpaper:dt2012-01
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    More about this item

    Keywords

    logit and probit; selection criteria; overlapping models; true model; convergence; asymptotic behaviour.;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory

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