Abstract

http://ssrn.com/abstract=573661
 


 



Avoiding Model Selection by the Use of Shrinkage Techniques


Asad Zaman


Pakistan Institute of Development Economics


Journal of Econometrics Journal of Econometrics, Vol. 25, pp. 73-85, 1984

Abstract:     
It is argued that, in most cases, model selection procedures, including those based on the popular criteria such as predictive loss or information, lead to inadmissible procedures. In particular, properties of the Akaike Information Criterion (AIC) in a nested sequence of regression models are analyzed by reduction to an appropriate canonical form. It is shown that the AIC has some undesirable features, and an alternative proper Bayes procedure is suggested. Numerical comparisons of risks are presented.

Keywords: model selection, Akaike Information Criterion, Bayesian model averaging, prediction criteria

JEL Classification: C11, C52

Accepted Paper Series





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Date posted: March 27, 2009  

Suggested Citation

Zaman, Asad, Avoiding Model Selection by the Use of Shrinkage Techniques. Journal of Econometrics Journal of Econometrics, Vol. 25, pp. 73-85, 1984. Available at SSRN: http://ssrn.com/abstract=573661

Contact Information

Asad Zaman (Contact Author)
Pakistan Institute of Development Economics ( email )
P.O.Box 1091
Islamabad 44000, Federal Capital
Pakistan
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