Mean squared errors of forecast for selecting nonnested linear models and comparison with other criteria

DOI10.1016/0304-4076(91)90039-GzbMath0737.62028MaRDI QIDQ1174643

Hiroki Tsurumi, Hajime Wago

Publication date: 25 June 1992

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

model selectionquadratic formsAICAkaike's information criterionsampling distributionnonnested linear modelsdegenerate hypergeometric functiondistribution of MSEFEfron's confidence intervalmean squared error of forecastsampling experimentssmallest posterior meantables of empirical probabilities of correct selection

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Bayesian inference (62F15) Generalized linear models (logistic models) (62J12) Exact distribution theory in statistics (62E15)

Cites Work

• Estimating the dimension of a model
• The Encompassing Principle and its Application to Testing Non-Nested Hypotheses
• Comparison of Local Power of Alternative Tests of Non-Nested Regression Models
• Comparing Non-Nested Linear Models
• Several Tests for Model Specification in the Presence of Alternative Hypotheses
• On the General Problem of Model Selection
• Information Criteria for Discriminating Among Alternative Regression Models
• Some Comments on C P
• The Selection of Variates for Use in Prediction with Some Comments on the General Problem of Nuisance Parameters
• Distribution of Quadratic Forms and Ratios of Quadratic Forms
• Distribution of the Ratio of the Mean Square Successive Difference to the Variance
• A new look at the statistical model identification
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