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

DOI10.1016/0304-4076(91)90039-GMaRDI QIDQ1174643zbMATH OpenFDO

Authors Hiroki Tsurumi, Hajime Wago

Publication date 25 June 1992

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

Full work available at URL https://doi.org/10.1016/0304-4076(91)90039-G

zbMATH Keywords

AICAkaike's information criteriondegenerate hypergeometric functiondistribution of MSEFEfron's confidence intervalmean squared error of forecastmodel selectionnonnested linear modelsquadratic formssampling distributionsampling experimentssmallest posterior meantables of empirical probabilities of correct selection

Mathematics Subject Classification ID

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

Review text

This paper considers the Bayesian and sampling distribution of the mean squared error of forecast (MSEF) of a linear regression model. A new derivation is given for the distribution of MSEF using a degenerate hypergeometric function. The paper discusses the use of the smallest posterior mean of MSEF as a criterion for model selection. Performing sampling experiments with various nonnested linear models, the Bayesian MSEF criterion has been evaluated with Akaike's information criterion (AIC), Efron's confidence interval, the \(N\), \(J\) and encompassing tests. These experiments show that the Bayesian criterion performs as well as or sometimes better than the AIC except in case of small sample size when the dimension of the true model exceeds that of the competing model. Efron's \(C I\) tends to be more conservative than the other criteria when the difference between the models is not large; tables of empirical probabilities of correct selection by the criteria obtained from sampling experiments with various nonnested linear models have been presented.

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Cited in

(2)

• Determining the MSE-optimal cross section to forecast
• scientific article; zbMATH DE number 5258494 (Why is no real title available?)

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