Model selection in orthogonal regression (Q1808690)

We develop the relationship between the stepwise \(F\)-test model selection criteria and information-based criteria for orthogonal regression models. We obtain the asymptotic properties of the stepwise \(F\)-tests with respect to efficiency and consistency. The performance of the \(F\)-test as well as other efficient and consistent criteria are compared via a large scale simulation study. The results indicate that three of the \(F\)-test criteria should be considered for routine data analysis.