Avoiding Model Selection by the Use of Shrinkage Techniques

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

Posted: 27 Mar 2009  

Asad Zaman

Pakistan Institute of Development Economics

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

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: https://ssrn.com/abstract=573661

Asad Zaman (Contact Author)

Pakistan Institute of Development Economics ( email )

Quaid-i-Azam University Campus
P.O.Box 1091
Islamabad, Federal Capital 44000
Pakistan

Paper statistics

Downloads
18
Abstract Views
176