Model Selection for the Trend Vector Model

Hsiu-Ting Yu () and Mark Rooij

Journal of Classification, 2013, vol. 30, issue 3, 338-369

Abstract: Model selection is an important component of data analysis. This study focuses on issues of model selection for the trend vector model, a model for the analysis of longitudinal multinomial outcomes. The trend vector model is a so-called marginal model, focusing on population averaged evolutions over time. A quasi-likelihood method is employed to obtain parameter estimates. Such an optimization function in theory invalidates likelihood-based statistics, such as the likelihood ratio statistic. Moreover, standard errors obtained from the Hessian are biased. In this paper, the performances of different model selection methods for the trend vector model are studied in detail. We specifically focused on two aspects of model selection: variable selection and dimensionality determination. Based on the quasi-likelihood function, selection criteria analogous to the likelihood ratio statistics, AIC and BIC, were employed. Additionally, Wald and resampling statistics were included as variable selection criteria. A series of simulations were carried out to evaluate the relative performance of these criteria. The results suggest that model selection can be best performed using either the quasi likelihood ratio statistic or the quasi-BIC. A special study on dimensionality selection found that the quasi-AIC also performs well for cases with degrees of freedom greater than 8. Another important finding is that the sandwich estimator for standard errors used in Wald statistics does not perform well. Even for larger sample sizes, the bias-correction procedure for the sandwich estimator is needed to give satisfactory results. Copyright Springer Science+Business Media New York 2013

Keywords: Model selection; Longitudinal multinomial data; Information criterion; Resampling methods; Sandwich variance estimator (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1007/s00357-013-9138-3 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:jclass:v:30:y:2013:i:3:p:338-369

Ordering information: This journal article can be ordered from
http://www.springer. ... hods/journal/357/PS2

DOI: 10.1007/s00357-013-9138-3

Access Statistics for this article

Journal of Classification is currently edited by Douglas Steinley

More articles in Journal of Classification from Springer, The Classification Society
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().