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Model selection in orthogonal regression

✍ Scribed by Allan McQuarrie; Chih-Ling Tsai

Publisher
Elsevier Science
Year
1999
Tongue
English
Weight
97 KB
Volume
45
Category
Article
ISSN
0167-7152

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✦ Synopsis

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 e ciency and consistency. The performances of F-test as well as other e cient 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.

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